Calculate the swap rate

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Question - An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at 5% is paid and 12-month LIBOR is received. An exchange of payments has just taken place. The one-year, two-year, and three-year LIBOR/swap zero rates are 3.6%, 4.6% and 5.6%. All rates are annually compounded. Calculate the swap rate?

a. 9.99 %

b. 86.23 %

c. 1.85 %

d. 3.23 %

e. None of the other answers provided is correct

Reference no: EM132997221

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