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Basic Question 5 of 12
Assume the following spot rates: r(1) = 6%, r(2) = 7%, r(3) = 8% and r(4) = 9%. What is the swap rate s(1)?
B. 6.5%
C. 7%
A. 6%
B. 6.5%
C. 7%
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I am happy to say that I passed! Your study notes certainly helped prepare me for what was the most difficult exam I had ever taken.
Andrea Schildbach
Learning Outcome Statements
explain the swap rate curve and why and how market participants use it in valuation;
calculate and interpret the swap spread for a given maturity;
describe short-term interest rate spreads used to gauge economy-wide credit risk and liquidity risk;
CFA® 2025 Level II Curriculum, Volume 4, Module 26.