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a) Given the semiannual swap curve data given below, find the discount factors implicit in the swap curve. T c 0.5 0.602% 1.0 1.190% 1.5
a) Given the semiannual swap curve data given below, find the discount factors implicit in the swap curve.
T | c |
0.5 | 0.602% |
1.0 | 1.190% |
1.5 | 1.498% |
2.0 | 2.448% |
2.5 | 2.847% |
3.0 | 2.959% |
3.5 | 3.234% |
4.0 | 3.480% |
4.5 | 3.882% |
5.0 | 3.991% |
b) Using the discount factor Zs you calculate in the previous question, calculate the zero-coupon bond yields (spot rates) for all the maturities in the table. Note that you have semi-annual compounding.
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