Swimming is good and prenatal yoga. The yoga will help you with your labor! It also leaves you feeling amazing!! We have girls in class tjat are 40 weeks!!
I do pilates and some strength training, there are lots of good exercise videos on you tube for prenatal fitness. Squats are great, with a wider stance to acomadate the belly, pliate squats are perfect, you can lift light weights. Just listen to your body and dont push yourself too hard.
Swimming for sure is a great exercise. Stretching is always wonderful!
My midwife suggested gentle yoga and swimming (im 29 weeks) so maybe you could try these. Hopefully the other ladies can suggest some other things but that's all I have right now :)