Business
Business, 17.02.2020 18:35, jacksonshalika

The one-year LIBOR rate is 3%, and the LIBOR forward rate for the 1- to 2- year period is 3.2%, respectively. The three-year swap rate for a swap with annual payments is 3.2%. What is the LIBOR forward rate for the 2- to 3-year period if OIS zero rates for maturities of one, two and three years are 2.5%, 2.7% and 2.9% respectively? What is the value of a three-year swap where 4% is received and LIBOR is paid on a principal of $100 million? All rates are annually compounded.

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The one-year LIBOR rate is 3%, and the LIBOR forward rate for the 1- to 2- year period is 3.2%, resp...

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