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How can I calculate the rates to construct the curve? I was thinking to use the formula converting par yield to spot rate, but I am not confident about it. Please give some hints or working on how to solve this. Thank you so much.

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For the two deposit rates, use:

Discount factor (90)=1/(1+90/360*0.035)

Discount Factor (180)=1/(1+180/360*0.04)

This is because deposit rates use simple interest rate formula.

For swap rate, first compute the 6 months (180 days) discount rate , d180, as above, and then use the following formula to compute the 1 year ( 360 days) discount factor, d360:

d360=(1-0.5*0.045*d180)/(1+0.5*0.045)

Where 0.045 is the 1 year swap rate.

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