Find the Fixed Rate on a Forward Swap Expiring in 90

question 14

Multiple Choice

Find the fixed rate on a forward swap expiring in 90 days in which the underlying swap has a maturity of 180 days and makes payments every 90 days.The prices of zero coupon bonds are 0.9877 (90 days) ,0.9732 (180 days) ,and 0.9597 (270 days) .

• A)5.97 percent
• B)5.6 percent
• C)5.5 percent
• D)5.78 percent
• E)5 percent

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