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The 1-year LIBOR zero rate is 3.2% per annum and the LIBOR forward rate for the 1- to 2 year period is 3.35%. The 3-year
The 1-year LIBOR zero rate is 3.2% per annum and the LIBOR forward rate for the 1- to 2 year period is 3.35%. The 3-year swap rate for a swap with the annual payments is 3.4%. What is the LIBOR forward rate for the 2- to 3-year period if OIS discounting is used and the OIS zero rates for maturities of 1,2, and 3 years are 2.5%, 2.7%, and 2.9%, respectively? What is the value of a 3-year swap where 4% is recived and LIBOR is paid on a principal of $100 million?
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