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The short answer is that Libor swap rates come from the market. They represent a series of cashflows in the future whose value is determined by the fixing, which the market participants have their own valuations of. Since the actual cash flows are now discounted using a separate funding curve, the swap prices embed both a prediction of future fixings and a ...

The main problem is that you cannot achieve Libor in the markets. So the old-fashioned method of discounting at Libor doesn't work any more. As an example, if you compound up the 3m Libor with today's price on a 3x6 FRA, you won't get 6m Libor. Traditionally, that would mean arbitrage, but these days it's just a fact of life. You cannot achieve 3m Libor for ...

Regarding swaps, the current preferred fixings for IRS in various currencies are given below. As with all OTC instruments, you're free to use whatever you like when you agree a deal, though most banks will stick to particular fixings. Ccy Dom Int Alt Int AUD BBSW BBSW LIBOR CAD CDOR CHF LIBOR CZK PRIBOR DKK CIBOR EUR ...

The reference rate used in Australia is the Bank Bill Swap Rate. According to Investopedia "The bank bill interest rate is the wholesale interbank rate within Australia and is published by the Australian Financial Markets Association (AFMA). It is the borrowing rate among the country's top market makers, and is widely used as the benchmark interest rate for ...

Here are your Australian LIBOR rates: http://www.homefinance.nl/english/international-interest-rates/libor/libor-interest-rates-aud.asp Couple points in addition: Every major financial market has an established rates market at which banks are borrowing and lending among themselves. In fact such transactions are performed every single day in order to ...

If a bank lends 6m Libor and finances it by borrowing 3m Libor and borrowing forward 3x6 libor, this is not arbitrage, as the bank is assuming 6m credit risk whilst his financing is 3m credit risk. (There are also other factors like regulatory capital, tying up balance sheet for 6m, etc.) So the text book case where the 3x6 FRA (or front Eurodollar) is equal ...