Consider a two-year forward contract delivering a two-year coupon bond with a face value of pound 100 and coupon rate of 20%. The forward price F will be paid In year 2 while the bond payments occur in years 3 and 4. The term structure is given by r_0.1 = 3%. r_0, 3 = 4.5%. r_0, 4 = 5%. Find the forward price F. b) Suppose, one year later the term structure becomes r_0, 1 = 2%. r_0, 2 = 3%, r_0, 3 = 3.5%, r_0. 4 = 4%. What is the new value of the contract with forward price as in part a)? c) Consider a 4-year interest rate swap that each year exchanges fixed payments at rate to the cash flows of a floating rate note with spot annual interest rate r_. The term structure is given by r_0, 1 = 3%. r_0, 2 = 4% r_0, 3 = 4.5%. r_0.4 = 5%. Find the fixed rate k. d) Suppose, one year later the term structure becomes r_0, 1 = 2%. r_0.2 = 3%, r_0, 3 = 3.5%. r_0. 4 = 4%. The notional amount is pound 100. What is the value of the interest rate swap in part c) at t = 1 (after the first cash flow is exchanged) to the parties of this contract