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Suppose that the 6-month and one-year risk-free zero rates are 3.65% and 3.92% per annum with continuous compounding respectively; the 6-month LIBOR rate is 5%
Suppose that the 6-month and one-year risk-free zero rates are 3.65% and 3.92% per annum
with continuous compounding respectively; the 6-month LIBOR rate is 5% with semi-annual
compounding. Additionally, assume that the 1-year swap rate for a plain vanilla interest rate
swap that uses the LIBOR rate as the floating rate is 6%. Obtain the LIBOR forward rate for the 6-
to-12-month period.
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Bond Markets Analysis And Strategies
Authors: Frank J Fabozzi
8th Edition
013274354X, 9780132743549
