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Trying to understand a question on swaps
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Page 18, question 2: SOA notes on swaps
Solution on page 24
I am trying to understand why, given the way the question is worded, the price of a swap at time t would be (1 st) -t? It specifically says the one year spot rate at to so how can the price not be (1 st) -t* (1 s[t-1]) -[t-1]*.... (1 s)?
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