The 1-year LIBOR rate is 10%. A bank trades swaps where a fixed rate of interest is
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The 1-year LIBOR rate is 10%. A bank trades swaps where a fixed rate of interest is exchanged for 12 month LIBOR with payments being exchanged annually. The 2- and 3-year swap rates (expressed with annual compounding) are 11% and 12% per annum. Estimate the 2- and 3-year LIBOR zero rates.
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