Question
Given the following continuously compounded zero (spot) rates; Term (years):0.51.01.52.02.5 Yield (% p.a.)4.04.54.95.25.4 Determine the mid-rate for a two-year plain-vanilla configuration on-market interest rate swap.
Given the following continuously compoundedzero(spot) rates;
Term (years):0.51.01.52.02.5
Yield (% p.a.)4.04.54.95.25.4
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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Bond Markets Analysis and Strategies
Authors: Frank J.Fabozzi
9th edition
133796779, 978-0133796773
