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Term structure of interest rates and swap valuation Suppose the current term structure of interest rates, assuming annual compounding, is as follows: s1 s2 s3
Term structure of interest rates and swap valuation
Suppose the current term structure of interest rates, assuming annual compounding, is as follows:
s1 | s2 | s3 | s4 | s5 | s6 |
7.0% | 7.3% | 7.7% | 8.1% | 8.4% | 8.8% |
What is the discount rate d(0,4)? (Recall that interest rates are always quoted on an annual basis unless
stated otherwise.
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