Under the terms of an interest rate swap, a financial institution has agreed to pay 10% per annum and to receive the 3-month LIBOR in return on a notional principal of $50 million with payments exchanged every 3 months. The swap has a remaining life of 14 months. The current rate being swapped for 3- month LIBOR is 11.8% per annum for all maturities. The 3-month LIBOR rate 1 month ago was 12% per annum. All rates are compounded quarterly. What is the continuously compounded zero rate for all maturities? (a) 12.0096 ktm (b) 11.8096 km (c) 11.7196 d) 11.68% k (e) 11.5398