OIS rates have been estimated as 3.4% for all maturities. The three-month LIBOR rate is 3.5%. For

Question:

OIS rates have been estimated as 3.4% for all maturities. The three-month LIBOR rate is 3.5%. For a six-month swap where payments are exchanged every three months the swap rate is 3.6%. All rates are expressed with quarterly compounding. What is the LIBOR forward rate for the three-month to six-month period if OIS discounting is used?