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)∗(100DV01(2))∗LevelPC(2)+F(10)∗(100DV01(10))∗LevelPC(10)+100∗(100DV01(5))∗LevelPC(5)=0
With the available data, this equation becomes:
F(2)∗0.0014421+F(10)∗0.00396933+100∗0.00296112=0
Solving for F(2):
F(2)=0.0014421−0.296112−F(10)∗0.00396933
To neutralize exposure to slope PC, the equation is:
F(2)∗(100DV01(2))∗SlopePC(2)+F(10)∗(100DV01(10))∗SlopePC(10)+100∗(100DV01(5))∗SlopePC(5)=0
With the given data, this equation becomes:
F(2)∗−0.00083505+F(10)∗0.00001462+100∗−0.00063488=0
Substituting the previously solved value for F(2) into the second equation:
−0.579051383∗(−0.296112−F(10)∗0.00396933)+F(10)∗0.00001462−0.063488=0
Solving for F(10):
F(10)=−46.68092564
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)=0.0014421−0.296112−(−46.68093∗0.00396933)
Hence, the correct answer to the question is C.