Скачать или смотреть SOA/FM SAMPLE QUESTION

201.
The current spot interest rate curve is as follows:
t rt t rt
0.25 1.50% 1.75 0.50 1.65% 2.00 0.75 1.79% 2.25 1.00 1.92% 2.50 1.25 2.10% 2.75 1.50 2.25% 3.00
2.40% 2.48% 2.80% 3.10% 3.35% 3.50%
Rafael has a one year loan for 1,000,000 with principal paid at the end of the one-year period. The loan has a variable interest rate that resets at the beginning of each three month period. The interest rate will be the spot interest rate at the beginning of each three month period.
Rafael enters into an interest rate swap where he is the payer with the characteristics of the swap exactly matching the loan.
Determine the quarterly swap rate that Rafael will pay.
A. 38 bp
B. 43 bp
C. 48 bp
D. 53 bp
E. 58 bp