The fixed rate on a 03 FRA is 2.5% and the fixed rate on a 36 FRA is 3.0%. In both FRA's the floating rate is 3-month LIBOR. The fixed rate on six-month, quarterly settlement interest rate swap on 3 -month LIBOR is 2%. Is there an arbitrage opportunity? If yes, then how to capture the arbitrage profits? No, there is no arbitrage opportunity. Yes, there is an arbitrage opportunity. You would need to short the swap and go long the 03 and 06 FRAs. Yes, there is an arbitrage opportunity. You would need to long the swap and go short the 03 and 06 FRAs. Need more information