a. Suppose that zero rates with continuous compounding are as follows: Maturity (Months) Rate (% per Annum) 3 3.1% 6 3.2% 9 3.2% 12 3.3% 15 3.4% 18 3.5% Calculate 3-month forward interest rates for the second, third, fourth, fifth and sixth quarters. (5 marks) b. Companies A and B have been offered the following rates per annum on a $10 million five-year loan: Fixed Rate Floating Rate Company A 3.5% BBSW + 0.9% Company B 3.3% BBSW + 0.2% 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