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What is the one year libor zero rate

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Reference no: EM133081843

All rates in this question are quoted with semi-annual compounding.

The six month OIS zero rate is 5.00%, while the one year OIS zero rate is 6.50%. The six month LIBOR zero rate is 6.40%. A one year fixed-floating LIBOR swap (with semi-annual payments) has fixed rate 11.10%. What is the one year LIBOR zero rate?

Reference no: EM133081843

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