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Q#3 The one-year LIBOR rates is 3%, and the LIBOR forward rate for the 1- to 2-year period is 3.2%, respectively. The three-year swap rate
Q#3 The one-year LIBOR rates is 3%, and the LIBOR forward rate for the 1- to 2-year period is 3.2%, respectively. The three-year swap rate for a swap with annual payments is 3.2%. What is the LIBOR forward rate for the 2- to 3-year period if OIS zero rates for maturities of one, two, and three years are 2.5%, 2.7%, and 2.9%, respectively. What is the value of a three-year swap where 4% is received and LIBOR is paid on a principal of $100 million. All rates are annually compounded | |
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