Question
Problem 4. The LIBOR zero curve is flat at 5% per year with continuously compounded out to 1.5 years. The swap rate for 2-year semiannual
Problem 4. The LIBOR zero curve is flat at 5% per year with continuously compounded out to 1.5 years. The swap rate for 2-year semiannual pay swap is 5.4% per year with semiannual compounding. Estimate the 2-year LIBOR zero rate per year with continuous compounding.
a. 5.00%
b. 5.13%
c. 5.20%
d. 5.34%
e. 5.40%
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Public Finance An International Perspective
Authors: Joshua E. Greene
1st Edition
9814365041, 978-9814365048
