Question: Q9. Today is May 5, 2008, and the (continuously compounded) yield curve is given in Table 5.12. Table 5.12 The Yield Curve on May 5,

Q9. Today is May 5, 2008, and the (continuously compounded) yield

Q9. Today is May 5, 2008, and the (continuously compounded) yield curve is given in Table 5.12. Table 5.12 The Yield Curve on May 5, 2008 Maturity Yield (c.c.) 0.25 2.70% 0.5 2.76% 0.75 2.86% 1 2.95% 1.25 3.09% 1.5 2.98% 1.75 3.07% 2 3.20% Source: Bloomberg. Calculate the semi-annual swap rate for all maturities between 6 months and 1.5 years (every six months) Q9. Today is May 5, 2008, and the (continuously compounded) yield curve is given in Table 5.12. Table 5.12 The Yield Curve on May 5, 2008 Maturity Yield (c.c.) 0.25 2.70% 0.5 2.76% 0.75 2.86% 1 2.95% 1.25 3.09% 1.5 2.98% 1.75 3.07% 2 3.20% Source: Bloomberg. Calculate the semi-annual swap rate for all maturities between 6 months and 1.5 years (every six months)

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