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The one-year LIBOR rate is 3% and the forward rate for the one- to two-year period is 3.2%. 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 one, two, and three year maturities 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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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92706678

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