3817金融与交易中等derivationmedium
Two-Year Semiannual Par Swap Rate
题目
A spot-starting fixed-for-floating swap has accrual fractions [0.5, 0.5, 0.5, 0.5] and discount factors [0.985, 0.969, 0.952, 0.934] for its payment dates. What is the par fixed swap rate?
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