SOA FMFinancial Mathematics

Associateship (ASA)

2.5 hours·30 multiple-choice·≈250 study hours

Score 0/0 · 10 MC

FM · Q1
Multiple choice
Interest-rate swaps
One-, two- and three-year spot rates are 4%, 5% and 6% annual effective. Calculate the fixed swap rate $R$ for a 3-year interest-rate swap with annual settlements, using $R=\dfrac{1-v_3}{v_1+v_2+v_3}$ .