Tow- and three-year swap rates expressed with annual, Civil Engineering

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Tow- and three-year swap rates expressed with annual

The one-year LIBOR rate is 10%. A bank trades swaps where a fixed rate of interest is exchanged for 12-month LIBOR with payments being exchanged annually. Tow- and three-year swap rates (expressed with annual compounding) are 11% and 12% per annum. Estimate the two-and three- year LIBOR zero rates.

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Civil Engineering: Tow- and three-year swap rates expressed with annual

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Civil Engineering: Tow- and three-year swap rates expressed with annual

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