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Question 9 1 pts A company wants to enter into a commitment to initiate a swap in 90 days. The swap would consist of four
Question 9 1 pts A company wants to enter into a commitment to initiate a swap in 90 days. The swap would consist of four payments 90 days apart with the underlying being LIBOR. Use the term structure of LIBOR as given below to solve for the () Day 90 to 180 forward rate, (in Day 90 to 270 forward rate: (l) Day 90 to 360 forward rate, and div Day 90 to 450 forward rate. Term (days) Rate 90 10.2% 180 11.0% 270 11.6% 360 11.9% 450 12.2% The forward rates are (1) 10.42%, (11) 12.03%, (i) 12.16%, and (iv) 12.38%. The forward rates are (1) 11.51%, (11) 11.99%, (i) 12.02%, and (iv) 12.76%. O The forward rates are (0) 11.51%. () 11.99%, GH) 12.16%, and (iv) 12.38%. The forward rates are (1) 11.39%, (ii) 11.87%, (iii) 12.16%, and (iv) 12.38%. The forward rates are (0) 11.51%, (ii) 11.99%, (i) 12.24%, and (iv) 12.37%
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