Price (SOA Interest Rate Swaps study note problem 6) Here are the prices of a one-year zero coupon bond with a maturity value of one. Years to Maturity 1 2 3 4 5 0.97 0.93 0.88 0.82 0.75 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. (0.08280] Price (SOA Interest Rate Swaps study note problem 6) Here are the prices of a one-year zero coupon bond with a maturity value of one. Years to Maturity 1 2 3 4 5 0.97 0.93 0.88 0.82 0.75 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. (0.08280]