Calculate the mid rate for a nine month interest rate


Calculate the mid rate for a nine month interest rate bullet swap with quarterly (assume 90 days intervals, and 360 day year) payment against Libor. The following 3 month Eurodollar deposit futures yields apply to contracts expiring (delivery date) as indicated.

Expiry date (months): 0,3,6,9,12

Yield (% p.a) : 6.05,6.15,6.23,6.30,6.35

Use continuously compounding

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Financial Management: Calculate the mid rate for a nine month interest rate
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