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Which of the Following Is a Way of Valuing Interest

Question 12

Multiple Choice

Which of the following is a way of valuing interest rate swaps where LIBOR is exchanged for a fixed rate of interest?


A) Assume that floating payments will equal forward LIBOR rates and discount net cash flows at the risk-free rate
B) Assume that floating payments will equal forward OIS rates and discount net cash flows at the risk-free rate
C) Assume that floating payments will equal forward LIBOR rates and discount net cash flows at the swap rate
D) Assume that floating payments will equal forward OIS rates and discount net cash flows at the swap rate

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