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What is the libor forward rate

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Reference no: EM132373627

The one-year LIBOR rate is 3.5% and the forward rate for the one-to-two-year period is 3.75%. The three-year swap rate for a swap with annual payments is 3.75%. What is the LIBOR forward rate for the 2-to-3 year period if OIS zero rates for one, two, and three year maturities are 3.5%, 3.7%, and 3.9%, respectively.

Reference no: EM132373627

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