Estimate the libor zero rates for maturities

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Reference no: EM131237058

The LIBOR zero curve is flat at 5% (continuously compounded) out to 1.5 years. Swap rates for 2- and 3-year semiannual pay swaps are 5.4% and 5.6%, respectively. Estimate the LIBOR zero rates for maturities of 2.0, 2.5, and 3.0 years.

(Assume that the 2.5-year swap rate is the average of the 2- and 3-year swap rates.)

Reference no: EM131237058

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