On one of your numerous displays you find discount factors as given in the following table....

 

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On one of your numerous displays you find discount factors as given in the following table. A client is ringing you and wishes to enter into a fixed-for-floating swap with both legs paying every 3 months. This swap would expire in 18 months. What is the approximate annual 4-compounded swap rate for this IRS with tenor 3 months? Since you are not given the 3 month rates, you immediately interpolate the 3 month discount factors from the 6 months discount factors. Your clients expects a quote of the rate in percent with 3 decimals. Which of the proposed values are you quoting them? Time horizon 6 months 12 months 18 months Z(0,T) 0.9797 0.9579 0.9368 On one of your numerous displays you find discount factors as given in the following table. A client is ringing you and wishes to enter into a fixed-for-floating swap with both legs paying every 3 months. This swap would expire in 18 months. What is the approximate annual 4-compounded swap rate for this IRS with tenor 3 months? Since you are not given the 3 month rates, you immediately interpolate the 3 month discount factors from the 6 months discount factors. Your clients expects a quote of the rate in percent with 3 decimals. Which of the proposed values are you quoting them? Time horizon 6 months 12 months 18 months Z(0,T) 0.9797 0.9579 0.9368

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To calculate the approximate annual 4compounded swap rate for the IRS with a tenor of 3 months we ne... View the full answer