The risk free rate is $0,01$ while the risky rate follows a $2$ period binomial model and the risky rate at time $t=0$ is $1$, where $u= 1.5$ and $d=0.6$.
How can I determine a swap rate of IRS with maturity 2 years whose floating leg is represented by risky rates?
My idea is to create the binomial tree for the risky rate in order to have all potential paths. After that, I could recover 4 potential swap rates from these values but I have to determine only one swap rate.
How can I do that?
