In this question, we investigate how to determine forward rates using the market rate on a swap contract. Suppose that 6, 12, 18, and 24-month OIS rates are 3.7%, 4.1%, 4.3%, and 4.7%, respectively. 6-month LIBOR rate is 4%, and forward LIBOR rates for 6-12 and 12-18 months are 4.4% and 4.8%, respectively. OIS rates are continuously compounded and LIBOR rates are semiannually compounded (again, you will have no need to convert semiannual rates to continuous rates). The market rate is 4.5% for a two-year swap (negotiated today) to pay LIBOR A. Calculate the present value of the first three exchanges (6, 12, and 18 months) from the two-year swap. Assume that the swap is on a notional principal of $100 (make it simple). B. Note that the present value of the two-year swap must be zero. What should be the present value of the last exchange (24 months) from the swap? C. Determine the 6-month forward LIBOR rate (per annum) for 18-24 months.