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:

DEPOSITS

Maturity Rate

1 day 4.23%

1 week 4.18%

1 month 4.43%

3 months 4.30%

6 months 4.29%

BILL FUTURES

Delivery Rates

Dec 21 95.84

Mar 22 95.89

Jun 22 95.72

Sept 22 95.45

QUARTERLY SWAP

Maturity Rate

1 year 4.260%

2 years 4.555%

3 years 4.835%

4 years 5.100%

5 years 5.325%

7 years 5.680%

10 years 6.005%

Answer rating: 100% (QA)

Answer Simple Bootstrapping Procedure The simple bootstrapping procedure is a method used to construct a forward rate curve from the given market rates The forward rate is the rate applicable on a loa... View the full answer