Question: Current LIBOR rates are shown in the table. If you enter a 3-year IRS with annual exchange of fixed vs. floating rates, what would be

Current LIBOR rates are shown in the table. If you enter

Current LIBOR rates are shown in the table. If you enter a 3-year IRS with annual exchange of fixed vs. floating rates, what would be a fair swap rate ? (1) 7.51%; (2) 7.94%; (3) 8.36%; (4) 8.79%; (5) 9.61%; (6) 10.02%; (7) 10.42%; (8) 10.82%; [p.a.] Maturity 1 year 2 year 3 year Zero-rate 1.0% p.a. 2.0% p.a. 11.0% p.a

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