Question
Given the following 6 month forward rates, starting tomorrow: Maturity 0 -> 6 months 6M -> 1 year 1Yr -> 18 months 18M -> 2
Given the following 6 month forward rates, starting tomorrow:
Maturity 0 -> 6 months 6M -> 1 year 1Yr -> 18 months 18M -> 2 years
Semi-annual Rate 5% 5.5% 5.8% 6.0%
The fixed side of an interest rate swap uses the 30/360 day count convention.
Calculate the breakeven rate for an 18 month swap starting in six months time.
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Authors: Tom Litton, Poppy Behrens, Erica Shatzer, George Bernal
1st Edition
0977157814, 978-0977157815
