you enter a 5-year swap at 5.09%, where you are long the fixed leg. Two and a half years

later, assume that the LIBOR / swap zero curve is flat at 2.94% (continuous compounding).

What is the 2.5-year swap rate under semiannual compounding? What is the value of your

loss if the counterparty defaults and does not pay?

(note: table from previous question if needed is:

Maturity

(years)

Swap Rate

1

5.3300%

1.5

5.2400%

2

5.1500%

2.5

5.1200%

3

5.0900%

3.5

5.0850%

4

5.0800%

4.5

5.0850%

5

5.0900%