//You observe the following LIBOR rates, all quoted per annum with semiannual compounding:

Maturity (years) | LIBOR

0.5 3.0%

1.0 3.5%

You also observe the following LIBOR fixed-for-floating swap rates, where floating payments are based on the 6-month LIBOR, payments are made every 6 months, and swap rate is quoted per annum with semiannual compounding.

Swap Expiration (years) | Swap Rate

1.5 3.8%

2.0 3.9%

(a)(3 points) Compute the 6-month to 12-month LIBOR forward rate using the two LIBOR rates. Express your answer as an annual rate with semiannual compounding.

(b)(8 points) Assuming both swaps are priced using LIBOR-based discounting, compute the 12- to 18-month and 18- to 24-month LIBOR forward rates. Also express these as annual rates with semiannual compounding.

Hint: remember that with LIBOR-based discounting, the LIBOR swap rate should be the coupon rate of a bond that sells at par.

Hint 2: Be careful that you get the discounting right. Everything is quoted as an annual rate with semiannual compounding, so don't just plug your interest rates into ert.//

How can I use the LIBOR rates (zero-rates) to compute the forward rate?