What's new

Swap Rates

vaibhav85

New Member
Can anyone help, how to find out the discount rates using swap rates? especially in the case of 6 months and 1.5 years.

Just for e.g: Maturity (Years) Swap rates
0.5 0.65%
1 0.80%
1.5 1.02%
2 1.16%

If u have to calculate the discount rates for 0.5 year and 1.5 year. how will u calculate using the calculator?

thanks
 

ivan.jarmanovic

New Member
Subscriber
Hi
Probably late and irrelevant but I'll give it a try anyway (actually I'm searching something different in the forum): I think you can apply David's approach from P1.T4.902.2 so that d(0.5) = 100.325/100 = 0.99676 and than bootstrapp d(1) and the remaining DFs by setting the price to 100.
The quickest way for me on thr BA2 is to hit 0.65, %, devide with 2, add 1 and hit [1/x]..
Please someone correct me if I'm wrong
BR
 
Top