Assume that interest rate from now to 1 year is 3%, and interest rate from now to 2 year is 3.5%, both yearly compounded. The swap rate of a 2-year Swap contract with 2 swap dates T1 = 1 and T2 = 2 is $87. Also suppose that forward price of the forward contract with length 1 year is $85, and forward price of the forward contract with length 2 years is $90. Find the arbitrage strategy in this case. Clearly state the strategy and show that it is an arbitrage.

Please solve the question. Please clearly state the strategy and show that it is an arbitrage. Thank you!