Use the definition of the forward LIBOR, (19.31) on page 447, to show that the present value
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Use the definition of the forward LIBOR, (19.31) on page 447, to show that the present value of the floating leg of a plain vanilla interest rate swap is indeed
(19.31)
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Floating leg = At> P(1, T„)L(t, Tn-1, Tn). n=1 1 ( P(t, S) At P(t, T) L(t, S, T) =
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The forward LIBOR rate LtT is defined as the rate at time t that is locked in for a ...View the full answer
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