The term and price of zero-coupon bonds are given in the following table: Time to maturity Price 1 98 2 91 3 .87 4 .83 5 .81 Paul enters into a deferred swap. He wants to swap the floating interest rates for a fixed interest rate during the fourth and fifth year. The level notional amount of the swap is 1000 each year. Determine the swap rate. Possible Answers A 2.71% B 3.66% C 3.82% D 4.15% E 4.94% The term and price of zero-coupon bonds are given in the following table: Time to maturity Price 1 98 2 91 3 .87 4 .83 5 .81 Paul enters into a deferred swap. He wants to swap the floating interest rates for a fixed interest rate during the fourth and fifth year. The level notional amount of the swap is 1000 each year. Determine the swap rate. Possible Answers A 2.71% B 3.66% C 3.82% D 4.15% E 4.94%