An interest rate swap with $1M notional that pays 3 fixed rate and receives LIBOR has 2 year to mature It exchanges cash flow every 6 month The current 6 month LIBOR is set at 2 The 6 12 month, and 12 18 month forward LIBOR are known to be 2 8 and 3 5 respectively The OIS rate is 1 8 (continuous c...

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Advanced Engineering Mathematics

ISBN: 978-0470458365

10th edition

Authors: Erwin Kreyszig

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Posted Date: May 19, 2023 07:11 AM

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An interest rate swap with $1M notional that pays 3% fixed rate and receives LIBOR has...

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Advanced Engineering Mathematics

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