Mock 30, Question 114 presented, principal, payments, question, example

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Have a question on Mock 30, Question 114

Statement 6: Suppose that you planned to issue a 100M FRN in 90 days time that has a 180-day term and coupon payments that reset every 90 days at the  90-day LIBOR. You would want a European swaption with a notional principal amount of 100M and a 90-day expiry at the time of FRN issuance. The data for this example is presented in Exhibit 1

                                     Today      In 90 days
90-day US LIBOR            3.5%          4%
180-day US LIBOR          3.85%        4.35%
Fixed rate on Swaption    3.9%          n/a
Fixed rate on Swap          n/a            4.32%
90-day discount factor     0.9913       0.9901
180-day discount factor   0.9811       0.9787

114) Based on Statement 6 and Exhibit 1, the market value of the swaption at expiration would be closest to:

a) 206,725
b) 207,764
c) 208,961


The answer they give is (105,000 x 0.9901) + (105,000 x 0.9787) = 206,725


How did they get 105,000? And what is the logic to this answer?

Thanks

himanshumh

(4.32%-3.90)*100m     现金流就是它们的差啊。这是由于签了SWAPTION挣得钱