Swaps : 722.3 : Nearest estimate for the forward LIBOR rate

[ankit4685]

Hi @David Harper CFA FRM

Can you kindly help me to understand how we have calculated forward LIBOR rate here. Below snippet is from your s/s
this is in reference of SWAPS - 722.3.





thanks,
Ankit

 

[David Harper CFA FRM]

Hi @ankit4685 per the title bar in the XLS, what I did there is implement Hull's Example 7.2. (10th Edition). See below.

Source: Options, Futures and, Other Derivatives, John Hull (10th)