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Compute the fixed rate

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Reference no: EM133003162

Compute the Fixed Rate on a 10 year $100 million vanilla swap, where the cash flows are bond like, using the forward rate methodology and the spot rate approach. Assume annual compounding.

Year 1 - Swap Rate 1.5%
Year 2 - Forward Rate 2.5126%
Year 3 - Swap Rate 2.5%
Year 4 - Forward Rate 4.62%
Year 5 - Swap Rate 3.25%
Year 6 - Forward Rate 3.581%
Year 7 - Swap Rate 3.50%
Year 8 - Forward Rate 5.8518%
Year 9 - Swap Rate 4%
Year 10 - Forward Rate - 9.8996%

Reference no: EM133003162

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