Hull Ex6_5_ExtendLIBOR |
| |
|
|
|
|
|
| |
Days |
350 |
440 |
530 |
|
| |
Zero |
3.0000% |
3.0409% |
3.0679% |
|
| |
|
|
|
|
|
| |
Days |
|
90 |
90 |
|
| |
Forward |
|
3.2000% |
3.2000% |
|
| |
|
|
|
|
|
|
Hull Ex6_5_ExtendLIBOR _2 |
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| |
Start |
Days |
F |
R |
|
|
| |
0 |
350 |
3.00% |
|
|
|
| |
350 |
90 |
3.20% |
3.0000% |
|
|
| |
440 |
90 |
3.20% |
3.0409% |
|
|
| |
589 |
90 |
5.60% |
3.0812% |
|
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| |
|
|
400 |
491 |
589 |
|
| |
|
|
4.8000% |
4.8927% |
4.9937% |
|
| |
|
|
|
|
|
|
| |
|
|
|
91 |
98 |
|
| |
|
|
|
5.3000% |
5.5000% |
|
| |
|
|
|
|
|
|
|