1. KINDA SUMLAJI TANVI AHUJA ASHOT KHALATYAN

2. Needs to be bootstraped? Discount factor for EONIA 1 month Forward rate from 1 month curve 3 month Forward rate from 3 month curve Discount factor for 6 month THE GIVEN DATA Market Rates Start dates and maturity dates A swap for 20 years maturity and 3month tenor

3. Forward Rate Agreement(FRA)

4. Discount Factor formula (swaps): If the market value of n=11 is missing, then we use market value of n=10, and n=12 (INTRAPOLATION METHOD). We can use the market value of n=9,n=10 to calculate the missing market value n=11(EXTRAPOLATION METHOD).

5. The Formula for interpolation is : To calculate D11 we need to calculate D12 first, the formula is:

6. Forward rates

7. Swap rates The par rate for a Swap is calculated as:

8. EONIA Discount Factor

9. 6 M Discount Factor

10. 1 month

11. 3 month