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In this problem we adopt the continuous compounding convention. Let st1 and st2 be the annualized spot interest rate corresponding to maturities t1 and t2,

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In this problem we adopt the continuous compounding convention. Let st1 and st2 be the annualized spot interest rate corresponding to maturities t1 and t2, t1 1 In this problem and st be the annualized spot interest rate corresponding to maturities ti and t2, ti

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