OIS rates have been estimated as 3.4% per annum for all maturities. The 3-month LIBOR rate is
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OIS rates have been estimated as 3.4% per annum for all maturities. The 3-month LIBOR rate is 3.5% per annum. For a 6-month swap where payments are exchanged every 3 months the swap rate is 3.6% per annum. All rates are expressed with quarterly compounding. What is the LIBOR forward rate for the 3- to 6-month period if OIS discounting is used?
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