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Suppose the two-year interest rate is r2 with quarterly-compounding and 30/360 daycount. Suppose the price today of a ZCB maturing in 4 years is Z(0,4).
Suppose the two-year interest rate is r2 with quarterly-compounding and 30/360 daycount. Suppose the price today of a ZCB maturing in 4 years is Z(0,4). Give a formula for the two-year forward two-year libor rate L0[2,4] in terms of r2 and Z(0,4).
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