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