2. You are given the following quotes for liquid swap rates. Assume that all time intervals are measured in years. Term Bid/Ask 2 6.2–6.5 3 6.4–6.7 4 7.0–7.3 5 7.5–7.8 6 8.1–8.4 You know that the current 12-month Libor rate is 5%.

(a) Calculate the FRA rates for the next five years, starting with a 1 × 2 FRA.

(b) Calculate the discount bond prices B(t0, ti), where ti = 1,..., 6 years.

(c) Calculate the yield curve for maturities of 0 to 18 months.

(d) Calculate the par yield curve.