medium · Quantitative Finance
An interest rate swap has a 2-year maturity with annual payments. The 1-year discount factor is P(0,1) = 0.9600 and the 2-year discount factor is P(0,2) = 0.9100. Calculate the fair annual par swap rate.
- 4.50%
- 4.94%
- 4.81%
- 9.00%
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