Question
. Consider the same swap as in the previous question. What is the value of the swap three months after initiation, where the discount factors
. Consider the same swap as in the previous question. What is the value of the swap three months after initiation, where the discount factors are now:
| T | Z(0,T) | T | Z(0,T) | T | Z(0,T) | T | Z(0,T) |
| 0.25 | 0.98400 | 1.25 | 0.91900 | 2.25 | 0.85870 | 3.25 | 0.80470 |
| 0.50 | 0.96800 | 1.50 | 0.90400 | 2.50 | 0.84450 | 3.50 | 0.79240 |
| 0.75 | 0.95200 | 1.75 | 0.88800 | 2.75 | 0.83080 | 3.75 | 0.78060 |
| 1.00 | 0.93600 | 2.00 | 0.87300 | 3.00 | 0.81750 | 4.00 | 0.76910 |
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Emotions In Finance Booms Busts And Uncertainty
Authors: Jocelyn Pixley
2nd Edition
1107633370, 978-1107633377
