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Compute three-month forward LIBOR rate for the period July 5- Oct 5. Hint use Exhibit 6. EXHIBIT 6: USD OVERNIGHT INDEX SWAPSSETTLEMENTS (as of April
Compute three-month forward LIBOR rate for the period July 5- Oct 5. Hint use Exhibit 6.
EXHIBIT 6: USD OVERNIGHT INDEX SWAPSSETTLEMENTS (as of April 5, 2016) Term 1 Week 2 Week 3 Week 1 Month 2 Month 3 Month 4 Month 5 Month 6 Month 9 Month 06:00 EDT 0.36000 0.36000 0.36100 0.36200 0.36600 0.37950 0.39200 0.40200 0.41400 0.44550 Source: Case authors using data from Bloomberg, accessed April 5, 2016
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