Consider a flat Libor discount curve given by D(0, T) =e 0.03T . Suppose that the OIS
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Consider a flat Libor discount curve given by D(0, T) =e −0.03T. Suppose that the OIS discount curve is D (0,T) = e −0.028T. Compute the swap rate (annual fixed coupons, semi-annual floating coupons) for different maturities (1 year, 5 years, 10 years, 30 years) and compare with that obtained via Libor discounting.
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