Let l T0 (k) be the equilibrium swap rate for a swap with payment dates T1,

Let ˜l

δ

T0

(k) be the equilibrium swap rate for a swap with payment dates T1, T2, ... , Tk, where Ti = T0 + iδ as usual. Suppose that ˜l

δ

T0

(1), ... ,˜l

δ

T0

(n) are known.

Find a recursive procedure for deriving the associated discount factors BT1 T0

, BT2 T0

, ... , BTn T0

.