Estimate the 2 and 3 year libor zero rates

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Reference no: EM131237078

The 1-year LIBOR rate is 10% with annual compounding. A bank trades swaps where a fixed rate of interest is exchanged for 12-month LIBOR with payments being exchanged annually.

The 2- and 3-year swap rates (expressed with annual compounding) are 11% and 12% per annum. Estimate the 2- and 3-year LIBOR zero rates.

Reference no: EM131237078

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