(Pricing swaps using term structure model) Consider an n = n=10-period binomial model for the short-rate, r_{i,j}ri,j​.

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(Pricing swaps using term structure model)
Consider an n = n=10-period binomial model for the short-rate,
r_{i,j}ri,j​. The lattice parameters are: r_{0,0} = 5\%r0,0​=5%, u
= 1.1u=1.1, d = 0.9d=0.9 and q =1-q = 1/2q=1−q=1/2.
Compute the initial value of a forward-starting swap that begins
at t=1t=1, with maturity t = 10t=10 and a fixed rate of 4.5%. The
first payment then takes place at t = 2t=2 and the final payment
takes place at t = 11t=11 as we are assuming, as usual, that
payments take place in arrears. You should assume a swap notional
of 1 million and assume that you receive floating and pay
fixed.