Question
1.The 6-month, 12-month, 18-month, and 24-month zero rates are 4.2%, 4.4%, 4.7%, and 5.0% respectively with continuous compounding. The 30 month swap rate is 5.7%
1.The 6-month, 12-month, 18-month, and 24-month zero rates are 4.2%, 4.4%, 4.7%, and 5.0% respectively with continuous compounding. The 30 month swap rate is 5.7% with semi-annual payments. What is the 30-month zero rate?
A.5.43%
B.5.67%
C.5.88%
D.6.15%
E.6.38%
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Financial Markets And Institutions
Authors: Frederic S. Mishkin, Stanley G. Eakins
9th Edition
0134519264, 9780134519265
