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Given the following continuously compounded zero (spot) rates; Term (years): 0.5 1.0 1.5 2.0 2.5 Yield (% p.a.) 2.8 3.3 3.7 4.0 4.2 Determine the

Given the following continuously compounded zero (spot) rates;

Term (years): 0.5 1.0 1.5 2.0 2.5

Yield (% p.a.) 2.8 3.3 3.7 4.0 4.2

Determine the mid-rate for a two-year plain-vanilla configuration on-market interest rate swap.

[Hint: calculate the par yield.]

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