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READING 34: THE TERM STRUCTURE AND
INTEREST RATE DYNAMICS
LOS 34.f: Explain the swap rate curve and why MODULE 34.3: THE SWAP RATE CURVE
and how market participants use it in valuation.
EXAMPLE: Swap rate curve: Given the following
LIBOR spot rate curve, compute the swap fixed
rate for a tenor of 1, 2, and 3 years (i.e., compute
the swap rate curve).
