Business, 28.02.2020 03:29 ballerthesavage3287

An interest rate swap has 3 years of remaining life. Payments are exchanged annually. Interest at 3% is paid and 12-month LIBOR is received. A exchange of payments has just taken place. The 1 year, 2 years and three years LIBOR/swap zero rates are 2%, 3% and 4%. All rates an annually compounded. What is the value of the swap as a percentage of the principal when LIBOR discounting is used?

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An interest rate swap has 3 years of remaining life. Payments are exchanged annually. Interest at 3%...

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