April 2009, Question 5

Discussion in 'SP6' started by Edwin, Jan 25, 2013.

  1. Edwin

    Edwin Member

    In this Bootstrapping question, the 30 - year swap discount rate d_30 is calculated by rearranging equation (*), however I think there was a mistake in adding the 30-year swap par rate to the denominator, making it 100 + gn?

    Shouldn't the rearrangement give us d_30 = (100 - gnSum(di))/100?
     
    Edwin, Jan 25, 2013
    #1
  2. Elroy

    Elroy Member

    No. We have removed the final gn*dn from the summation.
     
    Elroy, Jan 26, 2013
    #2
  3. Edwin

    Edwin Member

    Thanks Elroy, I couldn't follow.
     
    Edwin, Jan 26, 2013
    #3

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