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Unformatted text preview: s/2
s/2-2r0.5/2 ② Referring the data we have:
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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- Spring '14