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Yes. The map $R(\cdot;S,T):\mathbb{R}^{2}\to\mathbb{R}$ completely describes the forward rate/spot rate term interest rate structure for each $t\geq0$. (You can think of it as the market interest rate surface for the rate $R$ at time $t$). The notation $R(t;S,T)$ is meant to remind you that $R$ is a stochastic process for $t>0$, the periods of time ...


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I am note $100\%$ sure that I understand the question. But yes. More formally one could write $R(t,S,T)$ for the rate from $S$ to $T$ observed at $t$ and $R(t,t,T)$ for the spot.


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Interest rate is 12%, we'll assume some kind of simple day count scheme like 30/360. Cash flows and discount factors for C payer t disc.fact. rcv.cf pay.cf rcv.pv 0 1 0 -2C 0 1 .88 800 0 704 2 .7744 800 -C 619.52 3 .681472 800 -C 545.18 4 .59969536 800 -C ...


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Refer AFMA Interest Rates Conventions, paragraph 3.7 Swaps are quoted on a quarterly basis for maturities out to 3 years and on a semiā€annual basis for maturities 4 years and greater. Swaps falling between the 3 and 4 year maturity will be negotiated between the two counterparties. No. As long as your curve prices the input instruments correctly, ...


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Unless there is something specific happening in those systems, Depo rates should be exactly that. So if you can deposit cash for some rate b or borrow for some rate a, then those rates can be used to calculate the implied forward foreign exchange. The details of when that is appropriate and at what terms is particular to the currencies involved, so until we ...


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AUD LIBOR is no longer quoted. See list of fixes: https://www.theice.com/iba/libor AUD BBSW is quoted by prime AU banks and is based on the price of a discounted security while what was formerly the BBA AUD LIBOR was based on quotes by a different (but overlapping) set of rate contributors on a theoretical loan/depo.



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