Congratulations for the near future!!

Walking the baby morning & afternoon for about 30 to 60 minutes depending on the weather would do you both good, especially if you have a restless or easily upset baby it will settle the baby while giving you time out. You could also go for an indoor walk at a shopping mall. But swimming while good might be harder to manage on a regular basism depending on childcare & feeding etc etc.

Also try to eat a good healthy diet & remember that you'll almost certainly need extra nutrition (even if not breast feeding) just to help cope with the stress & so on of a new baby.