The term structure of swap rates is: 0.60% at 1 year; 0.90% at 2 years; 1.00% at 3 years; 2.20% at 4 years; 3.10% at 5 years. What is the two-year forward swap rate starting in three years, F(3,5), under respectively, semi-annual (s.a.) and annual compounding?
The term structure of swap rates is: 0.60% at 1 year; 0.90% at 2 years; 1.00% at 3 years; 2.20% at 4 years; 3.10% at 5 years. What is the two-year forward swap rate starting in three years, F(3,5), under respectively, semi-annual (s.a.) and annual compounding? A.4.89% (s.a.) and 5.07% (annual); B.5.25% (s.a.) and 5.22% (annual); C.6.29% (s.a.) and 6.33% (annual); D.7.03% (s.a.) and 7.14% (annual)