Zero-coupon bond yields are 5.2%, 5.5%, and 5.8% for redemption in 1, 2, and 3 years, respectively. Assume corn forward prices are $2.10, $2.20, and $2.35 for delivery in 1, 2 and 3 years, respectively. Calculate the prepaid swap price for corn.
(a) About $5.96
(b) About $6.04
(c) About $6.12
(d) About $6.20
(e) None of the above.