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4. Pricing the Mid-rate Calculate the USD mid-rate for a one year bullet swap with quarterly (assume 91 day intervals) payments against GBP libor,

4. Pricing the Mid-rate Calculate the USD mid-rate for a one year bullet swap with quarterly (assume 91 day intervals) payments against GBP libor, given the following 3 month libor futures market prices: Expiry Date (months): Yield (% pa): 0 3 6 9 7.65 7.75 7.83 7.90

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