Suppose that you observe the following swap rates for annual…
Suppose that you observe the following swap rates for annually settled swaps: the 1-year swap rate is 2%, the 2-year swap rate is 3% and the 3-year swap rate is 4%. Under LIBOR discounting, and ignoring the impact of any differences in day-count conventions, what projected 1×2-year forward LIBOR would you use when valuing swap cash flows in this market?