To value the swap from the perspective of the counterparty paying fixed, compute:

$$\text{Swap value} = PV(\text{floating leg}) - PV(\text{fixed leg})$$

1) Discount factors

With a flat continuously compounded curve at 1.0%:

• $P(0,0.25)=e^{-0.01\times 0.25}\approx 0.997503$
• $P(0,0.75)=e^{-0.01\times 0.75}\approx 0.992528$

2) Fixed leg

The fixed rate is 3.0% per annum, semiannual, so each 6-month coupon is:

$$100,000,000 \times 0.03 \times 0.5 = 1.5\text{ million}$$

Thus:

$$PV_{fixed} = 1.5(0.997503) + 101.5(0.992528) \approx 102.243\text{ million}$$

3) Floating leg

The floating coupon already set 3 months ago at 2.0% implies the next coupon is:

$$100,000,000 \times 0.02 \times 0.5 = 1.0\text{ million}$$

The final floating coupon is based on the current forward rate, which is 1.0%:

$$100,000,000 \times 0.01 \times 0.5 = 0.5\text{ million}$$

So:

$$PV_{float} = 1.0(0.997503) + 100.5(0.992528) \approx 100.748\text{ million}$$

4) Swap value to payer fixed

$$V = 100.748 - 102.243 \approx -1.49\text{ million}$$

So the swap is a liability to the fixed-rate payer.