PLEASE SHOW ALL STEPS WITHOUT USING EXCEL OR SPREADSHEETS!

Chupp Limited enters into a deferred interest rate swap with a level notional amount of 100,000. Under the swap, Chupp will swap a variable interest rate for a fixed interest rate during the last two years of a five-year swap. No swapping of interest rates will occur during the first three years. The variable interest rate during each one-year settlement period will be the one-year spot interest rate at the start of the settlement period.

Determine the swap rate for the last two years of the swap.

Time to Maturity Price 1 Year 0.97 2 Years 0.93 3 Years 0.88 4 Years 0.82 5 Years 0.75 Time to Maturity Price 1 Year 0.97 2 Years 0.93 3 Years 0.88 4 Years 0.82 5 Years 0.75