An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at 4% is paid and 12-

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An Interest Rate Swap Has Three Years Of Remaining Life Payments Are Exchanged Annually Interest At 4 Is Paid And 12 1 (66.56 KiB) Viewed 45 times

An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at 4% is paid and 12-month LIBOR is received. A exchange of payments has just taken place. The one-year, two-year and three- year LIBOR/swap zero rates are 3%, 4% and 5%. All rates an annually compounded. What is the value of the swap if LIBOR discounting is used. 02.06 O 5.47 2.58 U 1.06