Came across this while studying for Evaluating interest rate swaps. lets assume the 1M$ notional, floating rate based on 6month libor. The swap has a remaining life of 15 months, and pay dates are 3,,15 months. Spot libor rates are as follows 3months-5.4%, 9month-5.6%, 15month-5.8%. The libor of the last pay date was 5%.What will be the B floating? Why are we only considering the rate for 3month?
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