Question B Suppose the 0.5-year zero rate is 6% and the 1-year zero rate is 8%. Consider a 1-year, semi-annual pay, fixed-for-floating interest rate swap between risk-free borrowers. a) What is the swap rate that will make this swap worth zero? b) If the nominal face value of the swap is $100. What is the is the dollar duration of the fixed-rate bond and the FRN involved in the swap? c} Compute the dollar duration of the swap by taking the difference between dollar duration of the fixed rate bond and that ofthe FRN. d) Your liabilities have a market value of $100,000 and a duration of 3. Your assets have a market value of $100,000 and a duration of 5. Assuming that you are a risk-free borrower and can long or short the swap above. What position {long or short) and how many of the above swap contracts you would have to enter in order to immunize yourself from parallel shifts in interest rates. Ignore convexity