The answer must be 0.89207%

Please answer without Excel or Chat GPT!

Isaac entered into a two-year swap with semiannual settlements and level notional amount as a receiver. The swap rate is based on the zero-coupon bond prices as below: What net interest rate convertible semiannually does Isaac pay for the third settlement period if the six-month spot rate at the beginning of the second year is 2.4% ? Isaac entered into a two-year swap with semiannual settlements and level notional amount as a receiver. The swap rate is based on the zero-coupon bond prices as below: What net interest rate convertible semiannually does Isaac pay for the third settlement period if the six-month spot rate at the beginning of the second year is 2.4%