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Currently, the 1-year LIBOR rate is 7.5% with annual compounding. A bank trades swaps where a fixed rate of interest is exchanged for 12-moth LIBOR

Currently, the 1-year LIBOR rate is 7.5% with annual compounding. A bank trades swaps where a fixed rate of interest is exchanged for 12-moth LIBOR with payments being exchanged annually. The 2- and 3-year swap rates (expressed in annual compounding) are 8.4% and 9.1% per annum. Estimate the 2- and 3-year LIBOR zero rates.

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