Use the term structure of libor

Reference no: EM131323317

A company wants to enter into a commitment to initiate a swap in 90 days.

The swap would consist of four payments 90 days apart with the underlying being LIBOR. Use the term structure of LIBOR as given below to solve for the rate on this forward swap.

Term	Rate
90 days	10.20%
180 days	11.00%
270 days	11.60%
360 days	11.90%
450 days	12.20%

Reference no: EM131323317

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