Problem: Given the following continuously compounded zero (spot) rates;
Term (years): 0.5 1.0 1.5 2.0 2.5
Yield (% p.a.) 2.5 2.6 2.8 3.2 3.4
Determine the mid-rate for a two-year plain-vanilla configuration on-market interest rate swap.
[Hint: calculate the par yield.]