When the yield curve is upward-sloping, the fixed rate on a multiyear swap must be higher than

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“When the yield curve is upward-sloping, the fixed rate on a multiyear swap must be higher than the current level of LIBOR.With a downward-sloping yield curve, the opposite will occur.” Explain what is meant by this statement and why it must be true.

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Investment Analysis And Portfolio Management

ISBN: 9780176500696

1st Canadian Edition

Authors: Frank K. Reilly, Peggy L. Hedges, Philip Chang, Keith C. Brown, Hedges Reilly Brown

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