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1.The 6-month, 12-month, 18-month, and 24-month LIBOR/swap zero rates are 4.6%, 4.8%, 5.1%, and 5.3% respectively with continuous compounding. The 30 month swap rate is
1.The 6-month, 12-month, 18-month, and 24-month LIBOR/swap zero rates are 4.6%, 4.8%, 5.1%, and 5.3% respectively with continuous compounding. The 30 month swap rate is 5.7% with semi-annual payments. What is the 2.5- year zero-coupon (spot) rate?
A.4.53%
B.4.88%
C.5.28%
D.5.65%
E.6.08%
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