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Suppose the 1 - year and 2 - year OIS rates are 2 % and 4 % , respectively. Consider an OIS swap with two
Suppose the year and year OIS rates are and respectively. Consider an OIS
swap with two years to maturity where you receive and pay the floating reference rate
with principal million. If the payments are made annually with annual compounding
the value of the swap is
a
b
c
d
e
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