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.
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:
Where 0.045 is the 1 year swap rate.