Question
The one-, two-, and three-year zero-coupon rates are 8.00, 9.50, and 10.00 percent respectively. What is the fixed rate (in percent) on a three-year interest
The one-, two-, and three-year zero-coupon rates are 8.00, 9.50, and 10.00 percent respectively. What is the fixed rate (in percent) on a three-year interest rate swap that makes three annual end of year payments? The floating rate is the one-year LIBOR. Assume zero default risk.
9.80
10.00
9.90
9.70
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Public Finance Administration
Authors: B. J. Reed, John W. Swain
2nd Edition
0803974051, 978-0803974050
