default了，swap另一方不再履行约定。
swap刚建立时的价格对双方是公允的，也就是说建立是swap的初始价格为0。但是随着利率变化，双方在未来的现金流会不平衡。
after two years,
supposing the yield curve is flat, then the fixed payer expects to get the difference of cash flow as
(c-y)/(1+y)+(c-y)/(1+y)^2+(c-y)/(1+y)^3.
the loss occurring in the question means the expected loss V, because the fixed payer could have established a contract with a third party, which would not default after two years. as a result, the fixed payer would get the expected V and thus would not suffer the loss.
不知道有没有说清楚。
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