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2) An interest rate swap with $1M notional that pays 3% fixed rate and receives LIBOR has 2 year to mature. It exchanges cash
2) An interest rate swap with $1M notional that pays 3% fixed rate and receives LIBOR has 2 year to mature. It exchanges cash flow every 6 month. The current 6 month LIBOR is set at 2%. The 6 - 12 month, and 12 - 18 month forward LIBOR are known to be 2.8% and 3.5% respectively. The OIS rate is 1.8% (continuous compounding) flat. The swap is traded at $35,107.74. What is the 18 - 24 month forward LIBOR rate?
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Matlab An Introduction with Applications
Authors: Amos Gilat
5th edition
1118629868, 978-1118801802, 1118801806, 978-1118629864
