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Goodday. May i know how can i estimate those fixing rate in the yellow cell, with the curve given on the left?

Would my step below work

1.perform linear interpolation to find the rate e.g. the fixing rate on fixing date of 29/7/2021 would be somewhere between 0.03 to 0.04 due to linear interpolation

  1. then just divide by 360 to get the daily rate

Do i need to convert from forward rate to spot rate?

Thank you all enter image description here

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  • $\begingroup$ If I understand your screenshot correcty, you'd need to interpolate in some way (each method has pros/cons, but you could use the spot (?) rates given in the upper left table in linear style). That would give you all spot rates between 0y and 0.5y. Finally, you'd transform those spot rates into 1-day forward rates, which would serve as curve-estimates for your daily fixings. Whether you want to "scale" them into act/360 format is for you to decide, you just need to be consistent and use the same method should you need to back-transform those annualized rates into daily ones. $\endgroup$
    – KevinT
    Aug 12 '21 at 7:32
  • $\begingroup$ thanks a lot dear @KevinT, yes, the curve on the left should be a spot curve. May i know why need to convert to forward rate, is it because i am estimating the payment that happens in the future? Thank you $\endgroup$
    – quantototo
    Aug 13 '21 at 12:52
  • $\begingroup$ Not necessarily linked to the payment time... the forward rate $F(t, T_1, T_2)$ is the rate that today $t$'s market implies you could pay/earn from time $T_1$ to time $T_2$, with $t<T_1<T_2$. As your valuation date $t$ is Jul 28, a rate accruing from e.g. Aug 3 to Aug 4 qualifies as 1d forward rate. $\endgroup$
    – KevinT
    Aug 13 '21 at 12:57

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