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Current LIBOR rates are shown in the table. If you enter a 3-year IRS with annual exchange of fixed vs. floating rates, what would be
Current LIBOR rates are shown in the table. If you enter a 3-year IRS with annual exchange of fixed vs. floating rates, what would be a fair swap rate ? (1) 7.51%; (2) 7.94%; (3) 8.36%; (4) 8.79%; (5) 9.61%; (6) 10.02%; (7) 10.42%; (8) 10.82%; [p.a.] Maturity 1 year 2 year 3 year Zero-rate 1.0% p.a. 2.0% p.a. 11.0% p.a
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