a) Suppose that zero rates with continuous compounding are as follows:

Maturity (months)	Rate (% per annum)
3	2.0
6	2.2
9	2.4
12	2.5
15	2.6
18	2.7

Calculate 3-month forward interest rates for the second, third, fourth, fifth and sixth quarters.

b) Companies A and B have been offered the following rates per annum on a $50 million five-year loan:

	Fixed Rate	Floating Rate
Company A	5.5%	BBSW + 1.5%
Company B	4.9%	BBSW + 0.3%

Company A requires a floating-rate loan: company B requires a fixed-rate loan. Design a swap that will net a bank, acting as intermediary, 0.1% per annum and that will appear equally attractive to both companies.