# How to calculate annualized Swap Rate (from quarterly data)

You’ll be most likely given four interest rates or discount factors.

Maturity | Annualized Rate | Discount Factor |
---|---|---|

90 | R1 | 1 /(1 + (R1 * (90/360))) = Z1 |

180 | R2 | 1 /(1 + (R2 * (180/360))) = Z2 |

270 | R3 | 1 /(1 + (R3 * (270/360))) = Z3 |

360 | R4 | 1 /(1 + (R4 * (360/360))) = Z4 |

C = (1 – Z4) / (Z1 + Z2 + Z3 + Z4)

Assuming quarterly date **Annualized Swap Rate = 4C or C/(90/360)**

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Shouldn’t be the last one 1+R4 360/360? You wrote 90/360.

Yeah, sorry cutting and pasting typo…

Good luck,man.