Here is a table of 1 year forward LIBOR rates 1 Year Forward Rates Time (years) 0 1 year forward rate F[0, 1] = 1.750% F[1,2] = 2.350% F[2,3] = 2.850% 1 2 Ayesha and Jafari are counterparties to a 3 year swap with a notional principal amount of $1 million. Payments are exchanged at the end of each year. Ayesha will make (floating) payments based on the current 1 year LIBOR rate. Jafari will make payments based on the (fixed) swap rate r. Find the projected amount of Ayesha's payment P(2) at the end of year 2, and find r (so that the swap is fair). a. P(2) = $23,500 and r = 2.950% O b. P(2) = $17,500 and r = 2.950% OC. P(2) = $28,500 and r = 1.865% d. P(2) = $23,500 and r = 2.350% O e. P(2) = $23,500 and r = 2.307% Certainty : C=1 (Unsure: 67%) C=3 (Quite sure: >80%)