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Suppose that OIS rates of all maturities are 6% per annum, continuously compounded. The one-year LIBOR rate is 6.4%, annually compounded and the two-year swap

Suppose that OIS rates of all maturities are 6% per annum, continuously compounded. The one-year LIBOR rate is 6.4%, annually compounded and the two-year swap rate for a swap where payments are exchanged annually is 6.8%, annually compounded.

a. What is the LIBOR forward rate for the second year when LIBOR discounting is used and the rate is expressed with annual compounding?

b. What is the LIBOR forward rate for the second year when OIS discounting is used and the rate is expressed with annual compounding?

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