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9. Today is May 5, 2008, and the (continuously compounded) yield curve is given in Table 5.12. Calculate the semi-annual swap rate for all maturities
9. Today is May 5, 2008, and the (continuously compounded) yield curve is given in Table 5.12. Calculate the semi-annual swap rate for all maturities between 6 months and 2 years (every six months).
Maturity | Yield(c.c.) |
0.25 | 2.70% |
0.5 | 2.76% |
0.75 | 2.86% |
1 | 2.95% |
1.25 | 3.09% |
1.5 | 2.98% |
1.75 | 3.07% |
2 | 3.20% |
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