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Suppose we observe the following spot LIBOR rates: LIBOR 1m 2m 3m 6m 12m Rate 1.25% 1.50% 1.65% 1.75% 1.80% The market is uncollateralized. (a)

Suppose we observe the following spot LIBOR rates: LIBOR 1m 2m 3m 6m 12m Rate 1.25% 1.50% 1.65% 1.75% 1.80% The market is uncollateralized. (a) What forward rate would you show for a 9 x 12 FRA? (b) Calculate the ly par swap rate for an interest rate swap with quarterly payment. (c) Calculate the continuously compounded zero rates R(0,3m), R(0,6m), and R(0, 12m). Suppose we observe the following spot LIBOR rates: LIBOR 1m 2m 3m 6m 12m Rate 1.25% 1.50% 1.65% 1.75% 1.80% The market is uncollateralized. (a) What forward rate would you show for a 9 x 12 FRA? (b) Calculate the ly par swap rate for an interest rate swap with quarterly payment. (c) Calculate the continuously compounded zero rates R(0,3m), R(0,6m), and R(0, 12m)

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