Global Capital Market-HMW2

5 1 15 2 25 spot rate fixed payment expected floating

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Unformatted text preview: s/2 s/2 s/2 s/2 r0.5/2 0.5r0.5/2 1r0.5/2 1.5r0.5/2 2r0.5/2 s/2-r0.5/2 s/2-0.5r0.5/2 s/2-1r0.5/2 s/2-1.5r0.5/2 s/2-2r0.5/2 ② Referring the data we have: r0.5/2 2.6507% 0.5r0.5/2 1r0.5/2 1.5r0.5/2 3.1891% 3.1607% 2r0.5/2 3.4199% 3.7307% ③ By setting the NPV of the Net payment be zero, we derive the value of s ∑ ( ⁄) Therefore, the 2.5 years swap rate is roughly 3.2223% ( )...
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