I'm a student learning how to build a swap curve, I've deposit 6m rate = 5%, fra 6-12m rate = 5.8% and 12m-18m rate= 6% and swap 2y =7% and 3y swap rate = 7.5%. I get the correct discount factors for the deposit and fras but for swaps I get wrong values..
DF6m =0.97547758 DF6-12m =0.94709626 DF12-18m =0.91921345 DF 2y swap =?? DF 3y swap =??
For this example starting date is 10/09/2010 using day conv act/360. Can you help me get the right discount factors for 2y and 3y swaps. or direct me to book with examples of curve buildings ? thank you