Based on the bond information provided in Table 1, calculate the missing zero rate Z1 5 and the 6 month forward rates R0 5,1 and R1 0,1 5 From the receive fixed side, value the swap based on the following information Notional Value $100,000,000 Time to Maturity 1 50 years Fixed Rate 3 50 p a and is paid semi annually Floating Rate is the six month BBSW and the rate resets today The 6 month, 12 month and 18 month BBSW rates are 4 00 , 4 20 and 4 50 , respectively All rates are nominal annual with semi annual compounding Time to Maturity (years) Coupon Rate (p a ) Face Value Price Annualised Zero Rate 6 month Forward Rates 0 5 0 $100 00 98 51 3 00 1 0 0 $100 00 96 80 R0 5,1 3 25 1 5 4 00 $100 00 100 46 21 5 R1 0,1 5 Time to Maturity (years) Coupon Rate (p a ) Face Value Price Annualised Zero Rate 6 month Forward Rates 0 5 0 $100 00 98 51 3 00 1 0 0 $100 00 96 80 R0 5,1 3 25 1 5 4 00 $100 00 100 46 21 5 R1 0,1 5

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Based on the bond information provided in Table 1, calculate the missing zero rate Z1.5 and the 6-month forward rates R0.5,1 and R1.0,1.5. From the

Based on the bond information provided in Table 1, calculate the missing zero rate Z1.5 and the 6-month forward rates R0.5,1 and R1.0,1.5. image text in transcribed

From the receive fixed side, value the swap based on the following information:

Notional Value = $100,000,000;
Time to Maturity = 1.50 years;
Fixed Rate = 3.50% p.a. and is paid semi-annually;
Floating Rate is the six-month BBSW and the rate resets today;
The 6-month, 12-month and 18-month BBSW rates are 4.00%, 4.20% and 4.50%, respectively. All rates are nominal annual with semi-annual compounding.

Time to Maturity (years) Coupon Rate (p.a.) Face Value Price Annualised Zero Rate 6-month Forward Rates 0.5 0% $100.00 98.51 3.00% 1.0 0% $100.00 96.80 R0.5,1 3.25% 1.5 4.00% $100.00 100.46 21.5 R1.0,1.5 Time to Maturity (years) Coupon Rate (p.a.) Face Value Price Annualised Zero Rate 6-month Forward Rates 0.5 0% $100.00 98.51 3.00% 1.0 0% $100.00 96.80 R0.5,1 3.25% 1.5 4.00% $100.00 100.46 21.5 R1.0,1.5