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.
Transcribed Image Text:
P(t, To) – P(t, TN) rs(t) = Δι ΣΚ Ρ(, Τ)
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The forward swap rate F can be represented as F S x T1 L x T2 where S ...View the full answer
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