How would you go about determining a fair three-year fixed rate. For a swap (first payment starting in November 2012 and ending in November 2015) with a notional of 250,000,000?

 

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Maturity date Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17 Settle Price 99.56 99.63 99.62 99.60 99.59 99.55 99.53 99.49 99.44 99.38 99.32 99.23 99.19 99.15 99.13 99.09 99.05 99.04 99.02 99.00 98.99 Yield (forward 0.44% 0.37% 0.38% 0.40% 0.41% 0.45% 0.47% 0.51% 0.56% 0.62% 0.68% 0.77% 0.81% 0.85% 0.87% 0.91% 0.95% 0.96% 0.98% 1.00% 1.01% Maturity date Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17 Settle Price 99.56 99.63 99.62 99.60 99.59 99.55 99.53 99.49 99.44 99.38 99.32 99.23 99.19 99.15 99.13 99.09 99.05 99.04 99.02 99.00 98.99 Yield (forward 0.44% 0.37% 0.38% 0.40% 0.41% 0.45% 0.47% 0.51% 0.56% 0.62% 0.68% 0.77% 0.81% 0.85% 0.87% 0.91% 0.95% 0.96% 0.98% 1.00% 1.01%

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Determine a fair threeyear fixed rate for the swap Identify the relev... View the full answer