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Options, Futures, and Other Derivatives (9th Edition) -Chapter 9, Problem 13FQ ? ?Bookmark Show all...

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Options, Futures, and Other Derivatives (9th Edition) -Chapter 9, Problem 13FQ ? ?Bookmark Show all steps: ON R7 Problem The 1-year LIBOR zero rate is 3% per annum and the LIBOR forward rate for the 1-to 2-year period is 3.2%. The 3-year swap rate for a swap with annual payments is 3.2%. All rates are annually compounded. 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 received and LIBOR is paid on a principal of $100 million

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