18.15. Show that V 1 + f = V 2 where V is the value of a...
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18.15. Show that V1 + f = V2 where V is the value of a swap option to pay a fixed rate of Rx and receive LIBOR between times T1 and T2, f is the value of a forward swap to receive a fixed rate of Rx and pay LIBOR between times T1 and T2, and V2 is the value of a swap option to receive a fixed rate of Rx between times T1 and T2. Deduce that V1 = V2 when Rx equals the current forward swap rate.
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