In order to determine the face values of the 2-year and 10-year swaps, you need to use a system of two equations with two unknowns. Given that the notional amount of the 5-year swap is 100, the equations are based on neutralizing exposure to level PC and slope PC.
To neutralize exposure to level PC, the equation is:
F(2)โ(100DV01(2)โ)โLevelPC(2)+F(10)โ(100DV01(10)โ)โLevelPC(10)+100โ(100DV01(5)โ)โLevelPC(5)=0
With the available data, this equation becomes:
F(2)โ0.0014421+F(10)โ0.00396933+100โ0.00296112=0
Solving for F(2):
F(2)=0.0014421โ0.296112โF(10)โ0.00396933โ
To neutralize exposure to slope PC, the equation is:
F(2)โ(100DV01(2)โ)โSlopePC(2)+F(10)โ(100DV01(10)โ)โSlopePC(10)+100โ(100DV01(5)โ)โSlopePC(5)=0
With the given data, this equation becomes:
F(2)โโ0.00083505+F(10)โ0.00001462+100โโ0.00063488=0
Substituting the previously solved value for F(2) into the second equation:
โ0.579051383โ(โ0.296112โF(10)โ0.00396933)+F(10)โ0.00001462โ0.063488=0
Solving for F(10):
F(10)=โ46.68092564
which corresponds to a face value of EUR 46.68 million.
Substituting this value of F(10) back into the equation for F(2):
F(2)=0.0014421โ0.296112โ(โ46.68093โ0.00396933)โ
Hence, the correct answer to the question is C.