You are given the following table for the next eight half-year periods. The zero-coupon rates are converted
Question:
You are given the following table for the next eight half-year periods.
The zero-coupon rates are converted into discount factors with the following formula:
Where z is the zero-coupon rate and D is the number of days to the payment from inception. Find the fixed rate at which a four-year swap with half-year payments should be quoted if the swap is fair. The fixed side also uses the Actual/360 convention.
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