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You are given the following term structure of interest rates for the dollar and the euro: Term (days) $ Rate (r$) Rate (r)_ DBP$ DBPE

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You are given the following term structure of interest rates for the dollar and the euro: Term (days) $ Rate (r$) Rate (r)_ DBP$ DBPE 180 2.50% 6.80% 360 2.60% 6.60% 540 2.80% 6.40% 720 3.00% 6.20% I ??? The notional principal is $100m and the spot rate (So) = $1.25/. Assume you receive the $ fixed rate and pay the fixed rate. What is the 720-day DBP? (round to 4 decimal places)

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