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An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at...

An interest rate swap has three years of remaining life. Payments are exchanged annually. Interest at 3% is paid and 12-month LIBOR is received. A exchange of payments has just taken place(ie. Year 0). The one-year, two-year and three-year LIBOR/swap zero rates are 2%, 3% and 4%. All rates areannually compounded. What is the value of the swap as a percentage of the principal when OIS and LIBOR rates are the same(round the percentage value to nearest two decimal points)

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