This is not required for the exam, so for most don’t bother with it, although I hope someone out there is just interested in learning finance… Say you have this term structure 90 day libor=0.03 180 day libor=0.035 thus your Z factors are 0.99256 and 0.98280 the fixed rate for a swap should be ((1-0.98280)/(0.99256+0.98280))*4= 3.48 % so if i want to do this same things with forward, what do i need ? i need to enter long into a forward the expires NOW with a fixed rate of 3.48, and another forward that expires in 90 with a fixed rate of 3.48 so basiclly the question i am trying to get to is, in order to match the swap that pays in 90 and 180 days i need forwards that expire in time 0 and time 90, and not in time 90 and time 180 because forwards pay based on the PV of the interest payments, while the swap pays is at the “right time” i hope someone can help me, or at least confirm this is correct