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Suppose that the 6-month, 12-month and 18 month LIBOR rates are 3%, 4% and 4.8% with continuously compounding. The 2-year swap rate is 5%. What
Suppose that the 6-month, 12-month and 18 month LIBOR rates are 3%, 4% and 4.8% with continuously compounding. The 2-year swap rate is 5%. What is the 2 year LIBOR rate ( also known as LIBOR/swap rate)?
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