An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at 3% 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 3.2%, 4.2% and 5.2%. All rates are annually compounded.

Calculate the swap rate?

a.

4.63 %

b.

None of the other answers provided is correct

c.

5.94 %

d.

91.68 %

e.

6.21 %