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5.Given the following annualised zero (spot) rates semi-annual compounding; Expiry Date (years):0.51.01.52.02.5 Yield (% p.a.)5.05.55.96.26.4 Determine the mid-rate for a two-year plain-vanilla configuration at-market interest

5.Given the following annualised zero (spot) rates semi-annual compounding; Expiry Date (years):0.51.01.52.02.5 Yield (% p.a.)5.05.55.96.26.4 Determine the mid-rate for a two-year plain-vanilla configuration at-market interest rate swap. Assume 182-day half years. [Hint: calculate the par yield.]

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