... flow05 /15 /02 17 ,500 11 /15 /03 17 ,500 05 /15 /05 17 ,500 05 /15 /06 17 ,500 11 /15 /02 17 ,500 05 /15 /04 17 ,500 11 /15 /05 17 ,500 11 /15 /06 1, 017 ,50005 /15 /03 17 ,500 11 /15 /04 17 ,50060 Fixed Income Securities Exercise ... now for a loan starting in 1 year andrepayable after 2 years.In particular, we have thatR(0,t)= [ (1 + R(0, 1) ) (1 + F(0, 1, 1) ) (1 + F(0, 2, 1) ) ··· (1 + F(0,t − 1, 1) )] 1 t− 1 Besides, the forward ... calculus.64 Fixed Income Securities 5.405.605.806.006.206.406.606.800 2 4 6 8 10 12 14 16 18 20MaturityLevel (%)ZC1yrFPRSWIFRFigure 3 .1 Different rate curves—USA—March 11 , 19 98. ZC...