The 22 July Overnight Interest Swap rates are: Maturity Rate Compounding frequency 1 week 0.37126% Weekly 1 month 0.25034% Monthly 3 months 0.22830% Quarterly 6 months 0.22249% Semi-annually 1 year 0.22000% Annually 2 years 0.22000% Quarterly 3 years 0.26000% Quarterly 5 years 0.37000% Quarterly 10 years 0.72000% Quarterly The contracts out to one year only make a single payment. 2 year and longer maturities make quarterly payments. (e) What are the discount factors for 3 months, 6 months, 9 months, and 12 months? (d) Now suppose that the 15 month, 18 month, and 21 month swap rates are also 0.22000%. Swap rates are par yields, so this means that you can think of these as coupon rates on bonds that have price 100. Bootstrap the 15 month, 18 month, 21 month, and 24 month discount factors. The 22 July Overnight Interest Swap rates are: Maturity Rate Compounding frequency 1 week 0.37126% Weekly 1 month 0.25034% Monthly 3 months 0.22830% Quarterly 6 months 0.22249% Semi-annually 1 year 0.22000% Annually 2 years 0.22000% Quarterly 3 years 0.26000% Quarterly 5 years 0.37000% Quarterly 10 years 0.72000% Quarterly The contracts out to one year only make a single payment. 2 year and longer maturities make quarterly payments. (e) What are the discount factors for 3 months, 6 months, 9 months, and 12 months? (d) Now suppose that the 15 month, 18 month, and 21 month swap rates are also 0.22000%. Swap rates are par yields, so this means that you can think of these as coupon rates on bonds that have price 100. Bootstrap the 15 month, 18 month, 21 month, and 24 month discount factors