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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: s_1 s1 s_2

Term structure of interest rates and swap valuation

Suppose the current term structure of interest rates, assuming annual compounding, is as follows:

s_1

s_2

s_3

s_4

s_5

s_6

7.0%7.3%7.7%8.1%8.4%8.8%

What is the discount rated(0,4)

d(0,4)

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