Using the data from Table All l l in Appendix 11 1, calculate the sixmonth forward rate for period 3 Table All I Quoted Spot Swap Rates Period Maturity (years) Notation Spot swap rate given ( ) 1 0 5 R(0, 1) 1 8813 2 1 0 R(0, 2) 2 2875 3 1 5 R(0,3) 2 8158 4 2 0 R(0,4) 3 3440 5 25 R(0 5) 3 7253 6 3 ...

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Using the data from Table All.l.l in Appendix 11.1, calculate the sixmonth forward rate for period 3.

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Using the data from Table All.l.l in Appendix 11.1, calculate the sixmonth
forward rate for period 3. image text in transcribed

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Financing Large Projects Using Project Finance Techniques And Practices

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Authors: Fouzul Khan, Robert Parra

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Using the data from Table All.l.l in Appendix 11.1, calculate the sixmonth forward rate for period 3.

Question:

Table All.I. Quoted Spot Swap Rates Period Maturity (years) Notation Spot swap rate given (%) 1 0.5 R(0, 1) 1.8813 2 1.0 R(0, 2) 2.2875 3 1.5 R(0,3) 2.8158 4 2.0 R(0,4) 3.3440 5 25 R(0.5) 3.7253 6 3.0 R(0,6) 4.1065 7 3.5 R(0.7) 4.3528 8 4.0 R(0.8) 4.5990 9 4.5 R(0.9) 4.7658 10 5.0 R(0.10) 4.9325

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Financing Large Projects Using Project Finance Techniques And Practices

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