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 will you be willing to pay in euro against receiving USD LIBOR?
A)5%
B)4%
C)3%
D)2%

Question

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 will you be willing to pay in euro against receiving USD LIBOR?
A)5% 
B)4% 
C)3% 
D)2%

Quizplus · Accepted Answer

The Answer of 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 will you be willing to pay in euro against receiving USD LIBOR?
A)5% 
B)4% 
C)3% 
D)2%

Suppose That You Are a Swap Bank and You Notice