Question: . Construct the 6-month forward rate curve for 28 September, 2021 using the simple bootstrapping procedure and by applying the Frishling and Yamamura method if

. Construct the 6-month forward rate curve for 28 September, 2021 using the simple bootstrapping procedure and by applying the Frishling and Yamamura method if the quoted market rates are Deposit Maturity Rate 1d 4.23% 1w 4.18% 1m 4.43% 3m 4.30% 6m 4.29% Bill Futures Delivery Rate Dec 21 95.84 Mar 22 95.89 Jun 22 95.72 Sep 22 95.45 Quarterly Swap Maturity Rate 1y 4.260% 2y 4.555% 3y 4.835% 4y 5.100% 5y 5.325% 7y 5.680% 10y 6.005%

. Construct the 6-month forward rate curve for 28 September, 2021 using

procedure and by applying the Frishling and Yamamura method if the quoted market ra are Deposit Maturity Rate 1d 4.23% 1w 4.18% 1m 4.43% 3m 4.30% 6m 4.29% Bill Futures Delivery Rate Dec 21 95.84 Mar 22 95.89 Jun 22 95.72 Sep 22 95.45 Quarterly Swap Maturity Rate ly 4.260% 2y 4.555% 4.835% 4y 5.100% 5y 5.325% 7y 5.680% 10y 6.005% procedure and by applying the Frishling and Yamamura method if the quoted market ra are Deposit Maturity Rate 1d 4.23% 1w 4.18% 1m 4.43% 3m 4.30% 6m 4.29% Bill Futures Delivery Rate Dec 21 95.84 Mar 22 95.89 Jun 22 95.72 Sep 22 95.45 Quarterly Swap Maturity Rate ly 4.260% 2y 4.555% 4.835% 4y 5.100% 5y 5.325% 7y 5.680% 10y 6.005%

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