Problem 2.3. Consider fixed-for-floating swaps with annual exchanges of cash flows and one-year LIBOR as the floating rate. The two-year swap rate and the three-year swap rate are 3% per annum and 3.2% per annum, respectively, both annually compounded. The risk- free zero interest rates are 2% for one year, 2.1% for two years, and 2.2% for three years, each continuously compounded. What is the forward LIBOR rate for the period between 2 years and 3 years? (Hint: Both 2-year and 3-year swaps have value zero so the differences in their cash flows also have value zero. You can assume the principal amount to be $100 million but it does not matter.)