University of Kansas

The 2.5-year swap rate is assumed to be 5.5%. This means that a 2.5-year LIBOR bond paying a semiannual coupon at the rate of 5.5% per annum sells for par. If is the 2.5-year LIBOR zero rate . Solving this gives . The 3-year swap rate is 5.6%. This means that a 3-year LIBOR bond paying a semiannual coupon at the rate of 5.6% per annum sells for ... ................
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