Prove that the forward swap rate can be understood as a weighted average of all forward LIBORs

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Prove that the forward swap rate

can be understood as a weighted average of all forward LIBORs within the tenor of the swap.

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Feb 19, 2020 10:09 AM

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Prove that the forward swap rate can be understood as a weighted average of all forward LIBORs

Question:

P(t, To) – P(t, TN) rs(t) = Δι ΣΚ Ρ(, Τ)

Step by Step Answer:

The forward swap rate F can be represented as F S x T1 L x T2 where S ...View the full answer

A First Course in Quantitative Finance

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