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4. You are given the following information: 3-m Libor 3.2% 3x6 Forward rate 3.3-3.4% 6x9 Forward rate 3.6-3.7% a. Show how to construct a synthetic
4. You are given the following information: 3-m Libor 3.2% 3x6 Forward rate 3.3-3.4% 6x9 Forward rate 3.6-3.7% a. Show how to construct a synthetic 9-month loan with fixed rate beginning with a 3 month loan. Plot the cash flow diagram. b. What is the fixed 9-month borrowing cost? 4. You are given the following information: 3-m Libor 3.2% 3x6 Forward rate 3.3-3.4% 6x9 Forward rate 3.6-3.7% a. Show how to construct a synthetic 9-month loan with fixed rate beginning with a 3 month loan. Plot the cash flow diagram. b. What is the fixed 9-month borrowing cost
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