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Suppose That You Are a Swap Bank and You Notice

question 34

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Suppose that you are a swap bank and you notice that interest rates on zero coupon bonds are as shown. Develop the 3-year bid price of a euro swap quoted against flat USD LIBOR. Suppose that you are a swap bank and you notice that interest rates on zero coupon bonds are as shown. Develop the 3-year bid price of a euro swap quoted against flat USD LIBOR.   In other words, what you be willing to pay in euro against receiving USD LIBOR? A) 5% B) 4% C) 3% D) 2% In other words, what you be willing to pay in euro against receiving USD LIBOR?


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