How to read the notation used for the swap rates in Table 20.6 below? What does 2.412/452 means?

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1 Answer 1


That is 2.412 bid, 2.452 offered. A 4bp wide market.

  • $\begingroup$ If you want to receive fixed you will receive 2.412, if you want to pay fixed you will have to pay 2.452 $\endgroup$
    – nbbo2
    Apr 15 at 6:59

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