You are given the following table of spot rates:

	spot rate
1 year	3.1%
2 years	3.3%
3 years	3.5%
4 years	3.9%
5 years	4.4%

Determine the swap rate (in 5 decimal places) for a three-year deferred, two-year interest rate swap with a level notional amount and annual settlement periods.

Answer rating: 100% (QA)

Step 1 Identify relevant spot rates Since the swap is deferred for three years we disregard the 1yea... View the full answer