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Consider a 2 year interest rate swap to pay a fixed interest rate and receive a floating rate. The current 0.5 years , 1 year,
Consider a 2 year interest rate swap to pay a fixed interest rate and receive a floating rate. The current 0.5 years , 1 year, 1.5 years, and 2 year spot zero coupon interest rates are 3.90%, 4.00%, 4.10%, and 4.20% respectively, all in annual effective terms. The per annum fixed rate, with semiannual compounding, will be:
a) 4.05%
b) 4.15%
c) 4.20%
d) 4.10%
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