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You are given the following prices for zero coupon bonds per $1.00 of maturity value: Years to Maturity 1 2 3 4 5 Zero-coupon Bond
You are given the following prices for zero coupon bonds per $1.00 of maturity value:
Years to Maturity | 1 | 2 | 3 | 4 | 5 |
---|---|---|---|---|---|
Zero-coupon Bond Price | 0.947 | 0.887 | 0.837 | 0.795 | 0.769 |
R is the swap rate for a five-year interest rate swap with a notional amount of 10,000.
Determine R.
A) 2.45%
B) 3.65%
C) 4.20%
D) 4.85%
E) 5.45%
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