An investor has the following information about a zero-coupon bond curve:

i. The investor enters into a 4-year interest rate swap to pay a fixed rate and receive a floating rate based on future 1-year LIBOR rates. If the swap has annual payments, what is the fixed rate you should pay?

ii. Six months into the swap the term structure is now:

What is the value of the swap at this time?
 
 

Years to maturity Spot rates 1 3.23% 2 3.65% 3 4.05% 4 4.30%