问题如下:
John plans to price interest rate swap based on the following information:

The annualized fixed swap rate is:
选项:
A.
2.47%
B.
0.62%
C.
2.62%
解释:
A is correct.
考点:interest rate swap定价
解析:
期间的swap rate= 0.997506+0.992556+0.985222+0.9756101−0.975610=0.006173
年化的swap rate= 0.006173×(360/90)=0.024692=2.47%
这里years to maturity=1是不是表述的不对,应该是t=1