Determine the mid-rate, Determine the mid-rate for a two-year plain-vanilla configuration, Other Management

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Determine the mid-rate

Problem: Given the following continuously compounded zero (spot) rates;

Term (years): 0.5 1.0 1.5 2.0 2.5

Yield (% p.a.) 2.5 2.6 2.8 3.2 3.4

Determine the mid-rate for a two-year plain-vanilla configuration on-market interest rate swap.

[Hint: calculate the par yield.]

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