Solve for the rate on the forward swap

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Reference no: EM131325546

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

10.2%

180 days

11.0%

270 days

11.6%

360 days

11.9%

450 days

12.2%

Reference no: EM131325546

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