Find the libor forward rate for 2- to 3- year period

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Reference no: EM132014125

Answer the following question

Suppose that OIS zero rates with annual compounding are as follows:

Maturity (years)	Rate (%. a.c.)
1	2.5%
2	2.7%
3	2.9%
4	3.0%

The current one year LIBOR rate is 3% and the LIBOR forward rate for the 1- to 2- year period is 3.2%. In a market, a three year swap rate for a swap with annual payments is 3.2%.

a) Find the LIBOR forward rate for 2- to 3- year period

b) Value a three year swap where 4% is received and LIBOR is paid on a principal of $100 million c)if the LIBOR forward 3 to 4 year contract is 4.1% what should be the swap rate for a four year swap contract

c) If the LIBOR forward 3- to 4- year contract is 4.1% what should be the swap rate for a four year swap contract.

Reference no: EM132014125

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