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% |