Question
Assume that the 6 year annual spot rate is 11.58% and the 6 year annual six-month forward rate is 12.92%. What is the 6.5 year
Assume that the 6 year annual spot rate is 11.58% and the 6 year annual six-month forward rate is 12.92%. What is the 6.5 year annual spot rate? Round your intermediate calculations to 4 decimal places. State your answer as a BEY, rounded to two digits, without the percent sign.
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The Volatility Surface A Practitioner's Guide
Authors: Jim Gatheral
1st Edition
0471792519, 978-0471792512
