The one-year LIBOR rate is 10%. A bank trades swaps where a fixed rate of interest is
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The one-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. Two- and three-year swap rates
(expressed with annual compounding) are 11 % and 12% per annum. Estimate the two- and threeyear LIBOR zero rates.
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