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Consider an interest rate swap with maturity T = 2 with two swap dates per year. Given that R*(.5) = 2.5%, R*(1) = 3.5%,
Consider an interest rate swap with maturity T = 2 with two swap dates per year. Given that R*(.5) = 2.5%, R*(1) = 3.5%, R*(1.5) = 4%, and R* (2) = 4.25%, find the swap rate qswap [2].
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Fundamentals of Investments
Authors: Gordon J. Alexander, William F. Sharpe, Jeffery V. Bailey
3rd edition
132926172, 978-0132926171
