= Let Tk kd.Consider an interest rate swap paying a fixed interest rate K 0..n. Let and receiving Fx (Tk) at each of the payment dates Tk+1, for k 3 and d = 1. Suppose that P(0, i) = 1 o , and that the volatility of each forward rate is $k = 0.2. Suppose that, for i + j n = dwTidWT; = pdt and dFk = SdwT* FK Approximate the volatility of the swap rate (at time zero) for: a) p=0 b) p= 0.2 = Let Tk kd.Consider an interest rate swap paying a fixed interest rate K 0..n. Let and receiving Fx (Tk) at each of the payment dates Tk+1, for k 3 and d = 1. Suppose that P(0, i) = 1 o , and that the volatility of each forward rate is $k = 0.2. Suppose that, for i + j n = dwTidWT; = pdt and dFk = SdwT* FK Approximate the volatility of the swap rate (at time zero) for: a) p=0 b) p= 0.2