=+35. Let today be s = 0, the first reset date of a swap be T0

= 1/12 (i.e. in one month time), the cash flow dates be at Ti

= Ti–1 +1/12, i > 0, (i.e. every month), and the swap maturity time be T4

= 5/12. The simple forward rates F(0; Ti

, Tj

) are given in Table 6.2.