Pricing an interest rate swap. The one-year LIBOR rate is

3%, and the LIBOR forward rate for the 1-year to 2-year period is 3.2%,

respectively. The three-year swap rate for a swap with annual payments is

3.2%.

1. What is the LIBOR forward rate for the 2- to 3-year period, if the OIS

zero rates for maturities of one, two and three years are 2.5%, 2.7%

and 2.9%, respectively?

2. What is the value of a three year swap where 4% is received, and LIBOR

is paid on a principal of $100 million?

All rates are annually compounded.