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An investor and a bank want to design an interest rate swap on a principal of $2 millions. Investor wants the LIBOR and bank a
An investor and a bank want to design an interest rate swap on a principal of $2 millions. Investor wants the LIBOR and bank a fixed-rate. They have agreed that the tenor of the swap will be two years and the swap payments will occur annually. Calculate the swap rate, when the LIBOR interest rates per annum are 4% for one year, 4.5% for 1.5 years and 5% for two years
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