Today (at time t = 0) suppose that there is a 1-year zero-coupon bond with a price of $98.02 and a 2-year zero-coupon bond with a price of $94.18 traded on the market. Both bonds have a principal of $100. Assume that you are able to buy and short sell both bonds today at their quoted prices.

(a) What is today's 1-year forward interest rate Fo(1, 2) (for year 2, continuously compounded and in % per annum) implied by the given zero-coupon bond prices?

(b) Suppose that someone is offering you a 1-year forward rate Fo(1, 2) for year 2 of 5% per annum (continuously compounded). Is there an arbitrage opportunity? If yes, explain carefully how the arbitrage strategy would look like.