$\mathrm{restart}\;$$\mathrm{with}\left(\mathrm{Finance}\right)\:$

$\mathrm{DF1}:=\mathrm{DiscountFactor}\left(\mathit{1}\mathit{\,}\mathit{0.2}\mathit{\,}\mathrm{compounding}\mathit{ }\mathit{\=}\mathit{ }\mathrm{Continuous}\right)\;$

$\mathrm{DF1}:=0.8187307531$

$\frac{1}{{\ⅇ}^{0.2}}\;$

$0.8187307532$

$\mathrm{DF2}:=\mathrm{DiscountFactor}\left(1\,0.2\,\mathrm{compounding} \= \mathrm{Simple}\right)\;$

$\mathrm{DF2}:=0.8333333333$

$\frac{1}{1\+0.2}\;$

$0.8333333333$

$\mathrm{CF1}:=\mathrm{CompoundFactor}\left(1\,0.2\,\mathrm{compounding}\=\mathrm{Continuous}\right)\;$

$\mathrm{CF1}:=1.221402758$

$\mathrm{CF1}\mathrm{DF1}\;$

$0.9999999999$

$\mathrm{CF2}:=\mathrm{CompoundFactor}\left(1\,0.2\,\mathrm{compounding}\=\mathrm{Simple}\right)\;$

$\mathrm{CF2}:=1.200000000$

$1\+0.2\;$

$1.2$

$\mathrm{Times}:=1\;$

$\mathrm{Times}:=1$

$\mathrm{R1}:=0.06\;$

$\mathrm{R1}:=0.06$

$\mathrm{R2}:=\mathrm{EquivalentRate}\left(\mathrm{R1}\,\mathrm{Continuous}\,\mathrm{Monthly}\,1\right)\;$

$\mathrm{R2}:=0.06015025031$

$\mathrm{V1}:={\ⅇ}^{\mathrm{R1}}\;$

$\mathrm{V1}:=1.061836547$

$\mathrm{V2}:={\left(1\+\frac{\mathrm{R2}}{12}\right)}^{12}\;$

$\mathrm{V2}:=1.061836548$

$\mathrm{r1}:=0.2\;$

$\mathrm{r1}:=0.2$

$\mathrm{CF1}:=\mathrm{CompoundFactor}\left(1\,\mathrm{r1}\,\mathrm{compounding} \=\mathrm{Continuous}\right)\;$

$\mathrm{CF1}:=1.221402758$

$\mathrm{r2}:=\mathrm{ImpliedRate}\left(\mathrm{CF1}\,1\, \mathrm{Continuous}\right)\;$

$\mathrm{r2}:=0.1999999999$

$\mathrm{r3}:=\ln \left(\mathrm{CF1}\right)\;$

$\mathrm{r3}:=0.1999999999$

$\mathrm{times}:=\left[0\,0.5\,1\,1.5\,2\right]\;$

$\mathrm{times}:=\left[0\,0.5\,1\,1.5\,2\right]$

$\mathrm{rates}:=\left[0.01\,0.04\,0.06\,0.07\,0.075\right]\;$

$\mathrm{rates}:=\left[0.01\,0.04\,0.06\,0.07\,0.075\right]$

$\mathrm{CurveFitting}:-\mathrm{Spline}\left(\mathrm{times}\,\mathrm{rates}\,t\,\mathrm{degree}\=1\right)\;$

$\&lcub;\begin{array}{cc}0.01000000000\&plus;0.06000000000t& t<0.5\\ 0.02000000000\&plus;0.04000000000t& t<1\\ 0.04000000000\&plus;0.02000000000t& t<1.5\\ 0.05500000000\&plus;0.01000000000t& \mathrm{otherwise}\end{array}$

$F:=\mathrm{unapply}\left(\&comma;t\right)\&colon;$

$\mathrm{Plot\_F}:=\mathrm{plot}\left(F\left(t\right)\&comma;t\&equals;0..2\right)\&colon;$

$\mathrm{ZC}:=\mathrm{ZeroCurve}\left(F\right)\&colon;$

$\mathrm{ZR}:=\left[\mathrm{seq}\left(\mathrm{ZeroRate}\left(\mathrm{ZC}\&comma;\frac{i}{100}\&comma;\mathrm{compounding}\&equals;\mathrm{Continuous}\right)\&comma;i\&equals;1..200\right)\right]\&semi;$

$\mathrm{ZR}:=\left[0.01060000000\&comma;0.01120000000\&comma;0.01180000000\&comma;0.01240000000\&comma;0.01300000000\&comma;0.01360000000\&comma;0.01420000000\&comma;0.01480000000\&comma;0.01540000000\&comma;0.01600000000\&comma;0.01660000000\&comma;0.01720000000\&comma;0.01780000000\&comma;0.01840000000\&comma;0.01900000000\&comma;0.01960000000\&comma;0.02020000000\&comma;0.02080000000\&comma;0.02140000000\&comma;0.02200000000\&comma;0.02260000000\&comma;0.02320000000\&comma;0.02380000000\&comma;0.02440000000\&comma;0.02500000000\&comma;0.02560000000\&comma;0.02620000000\&comma;0.02680000000\&comma;0.02740000000\&comma;0.02800000000\&comma;0.02860000000\&comma;0.02920000000\&comma;0.02980000000\&comma;0.03040000000\&comma;0.03100000000\&comma;0.03160000000\&comma;0.03220000000\&comma;0.03280000000\&comma;0.03340000000\&comma;0.03400000000\&comma;0.03460000000\&comma;0.03520000000\&comma;0.03580000000\&comma;0.03640000000\&comma;0.03700000000\&comma;0.03760000000\&comma;0.03820000000\&comma;0.03880000000\&comma;0.03940000000\&comma;0.04000000000\&comma;0.04040000000\&comma;0.04080000000\&comma;0.04120000000\&comma;0.04160000000\&comma;0.04200000000\&comma;0.04240000000\&comma;0.04280000000\&comma;0.04320000000\&comma;0.04360000000\&comma;0.04400000000\&comma;0.04440000000\&comma;0.04480000000\&comma;0.04520000000\&comma;0.04560000000\&comma;0.04600000000\&comma;0.04640000000\&comma;0.04680000000\&comma;0.04720000000\&comma;0.04760000000\&comma;0.04800000000\&comma;0.04840000000\&comma;0.04880000000\&comma;0.04920000000\&comma;0.04960000000\&comma;0.05000000000\&comma;0.05040000000\&comma;0.05080000000\&comma;0.05120000000\&comma;0.05160000000\&comma;0.05200000000\&comma;0.05240000000\&comma;0.05280000000\&comma;0.05320000000\&comma;0.05360000000\&comma;0.05400000000\&comma;0.05440000000\&comma;0.05480000000\&comma;0.05520000000\&comma;0.05560000000\&comma;0.05600000000\&comma;0.05640000000\&comma;0.05680000000\&comma;0.05720000000\&comma;0.05760000000\&comma;0.05800000000\&comma;0.05840000000\&comma;0.05880000000\&comma;0.05920000000\&comma;0.05960000000\&comma;0.06000000000\&comma;0.06020000000\&comma;0.06040000000\&comma;0.06060000000\&comma;0.06080000000\&comma;0.06100000000\&comma;0.06120000000\&comma;0.06140000000\&comma;0.06160000000\&comma;0.06180000000\&comma;0.06200000000\&comma;0.06220000000\&comma;0.06240000000\&comma;0.06260000000\&comma;0.06280000000\&comma;0.06300000000\&comma;0.06320000000\&comma;0.06340000000\&comma;0.06360000000\&comma;0.06380000000\&comma;0.06400000000\&comma;0.06420000000\&comma;0.06440000000\&comma;0.06460000000\&comma;0.06480000000\&comma;0.06500000000\&comma;0.06520000000\&comma;0.06540000000\&comma;0.06560000000\&comma;0.06580000000\&comma;0.06600000000\&comma;0.06620000000\&comma;0.06640000000\&comma;0.06660000000\&comma;0.06680000000\&comma;0.06700000000\&comma;0.06720000000\&comma;0.06740000000\&comma;0.06760000000\&comma;0.06780000000\&comma;0.06800000000\&comma;0.06820000000\&comma;0.06840000000\&comma;0.06860000000\&comma;0.06880000000\&comma;0.06900000000\&comma;0.06920000000\&comma;0.06940000000\&comma;0.06960000000\&comma;0.06980000000\&comma;0.07000000000\&comma;0.07010000000\&comma;0.07020000000\&comma;0.07030000000\&comma;0.07040000000\&comma;0.07050000000\&comma;0.07060000000\&comma;0.07070000000\&comma;0.07080000000\&comma;0.07090000000\&comma;0.07100000000\&comma;0.07110000000\&comma;0.07120000000\&comma;0.07130000000\&comma;0.07140000000\&comma;0.07150000000\&comma;0.07160000000\&comma;0.07170000000\&comma;0.07180000000\&comma;0.07190000000\&comma;0.07200000000\&comma;0.07210000000\&comma;0.07220000000\&comma;0.07230000000\&comma;0.07240000000\&comma;0.07250000000\&comma;0.07260000000\&comma;0.07270000000\&comma;0.07280000000\&comma;0.07290000000\&comma;0.07300000000\&comma;0.07310000000\&comma;0.07320000000\&comma;0.07330000000\&comma;0.07340000000\&comma;0.07350000000\&comma;0.07360000000\&comma;0.07370000000\&comma;0.07380000000\&comma;0.07390000000\&comma;0.07400000000\&comma;0.07410000000\&comma;0.07420000000\&comma;0.07430000000\&comma;0.07440000000\&comma;0.07450000000\&comma;0.07460000000\&comma;0.07470000000\&comma;0.07480000000\&comma;0.07490000000\&comma;0.07500000000\right]$

$\mathrm{Plot\_ZR}:=\mathrm{Statistics}:-\mathrm{PointPlot}\left(\mathrm{ZR}\&comma;\mathrm{xcoords}\&equals;\left[\mathrm{seq}\left(\frac{i}{100}\&comma;i\&equals;1..200\right)\right]\right)\&colon;$

${\mathrm{plots}}_{\mathrm{display}}\left(\mathrm{Plot\_ZR}\&comma;\mathrm{Plot\_F}\&comma;\mathrm{thickness}\&equals;3\&comma;\mathrm{axes}\&equals;\mathrm{BOXED}\&comma;\mathrm{gridlines}\&equals;\mathrm{true}\right)\&semi;$

$\mathrm{ZRS}:=\left[\mathrm{seq}\left(\mathrm{ZeroRate}\left(\mathrm{ZC}\&comma;\frac{i}{100}\&comma;\mathrm{compounding}\&equals;\mathrm{Simple}\right)\&comma;i\&equals;1..200\right)\right]\&semi;$

$\mathrm{ZRS}:=\left[0.01060056182\&comma;0.01120125449\&comma;0.01180208885\&comma;0.01240307571\&comma;0.01300422592\&comma;0.01360555031\&comma;0.01420705974\&comma;0.01480876506\&comma;0.01541067713\&comma;0.01601280683\&comma;0.01661516503\&comma;0.01721776262\&comma;0.01782061049\&comma;0.01842371956\&comma;0.01902710074\&comma;0.01963076495\&comma;0.02023472314\&comma;0.02083898624\&comma;0.02144356523\&comma;0.02204847106\&comma;0.02265371474\&comma;0.02325930726\&comma;0.02386525962\&comma;0.02447158286\&comma;0.02507828802\&comma;0.02568538614\&comma;0.02629288830\&comma;0.02690080559\&comma;0.02750914911\&comma;0.02811792997\&comma;0.02872715932\&comma;0.02933684830\&comma;0.02994700810\&comma;0.03055764989\&comma;0.03116878489\&comma;0.03178042432\&comma;0.03239257944\&comma;0.03300526151\&comma;0.03361848182\&comma;0.03423225168\&comma;0.03484658243\&comma;0.03546148541\&comma;0.03607697201\&comma;0.03669305363\&comma;0.03730974168\&comma;0.03792704762\&comma;0.03854498292\&comma;0.03916355907\&comma;0.03978278760\&comma;0.04040268005\&comma;0.04081907405\&comma;0.04123588351\&comma;0.04165311365\&comma;0.04207076971\&comma;0.04248885694\&comma;0.04290738059\&comma;0.04332634593\&comma;0.04374575824\&comma;0.04416562281\&comma;0.04458594495\&comma;0.04500672997\&comma;0.04542798320\&comma;0.04584970999\&comma;0.04627191567\&comma;0.04669460562\&comma;0.04711778521\&comma;0.04754145985\&comma;0.04796563492\&comma;0.04839031584\&comma;0.04881550806\&comma;0.04924121700\&comma;0.04966744814\&comma;0.05009420693\&comma;0.05052149886\&comma;0.05094932944\&comma;0.05137770418\&comma;0.05180662860\&comma;0.05223610825\&comma;0.05266614868\&comma;0.05309675547\&comma;0.05352793421\&comma;0.05395969049\&comma;0.05439202994\&comma;0.05482495819\&comma;0.05525848088\&comma;0.05569260369\&comma;0.05612733229\&comma;0.05656267239\&comma;0.05699862969\&comma;0.05743520992\&comma;0.05787241884\&comma;0.05831026220\&comma;0.05874874579\&comma;0.05918787541\&comma;0.05962765686\&comma;0.06006809599\&comma;0.06050919865\&comma;0.06095097070\&comma;0.06139341803\&comma;0.06183654655\&comma;0.06206780301\&comma;0.06229936591\&comma;0.06253123685\&comma;0.06276341743\&comma;0.06299590925\&comma;0.06322871393\&comma;0.06346183309\&comma;0.06369526833\&comma;0.06392902129\&comma;0.06416309359\&comma;0.06439748686\&comma;0.06463220274\&comma;0.06486724286\&comma;0.06510260887\&comma;0.06533830243\&comma;0.06557432518\&comma;0.06581067878\&comma;0.06604736489\&comma;0.06628438518\&comma;0.06652174131\&comma;0.06675943498\&comma;0.06699746785\&comma;0.06723584160\&comma;0.06747455794\&comma;0.06771361854\&comma;0.06795302512\&comma;0.06819277937\&comma;0.06843288300\&comma;0.06867333772\&comma;0.06891414526\&comma;0.06915530732\&comma;0.06939682565\&comma;0.06963870196\&comma;0.06988093800\&comma;0.07012353551\&comma;0.07036649623\&comma;0.07060982192\&comma;0.07085351432\&comma;0.07109757521\&comma;0.07134200635\&comma;0.07158680951\&comma;0.07183198646\&comma;0.07207753899\&comma;0.07232346888\&comma;0.07256977793\&comma;0.07281646793\&comma;0.07306354069\&comma;0.07331099800\&comma;0.07355884169\&comma;0.07380707357\&comma;0.07394452145\&comma;0.07408215440\&comma;0.07421997297\&comma;0.07435797770\&comma;0.07449616913\&comma;0.07463454782\&comma;0.07477311431\&comma;0.07491186914\&comma;0.07505081287\&comma;0.07518994605\&comma;0.07532926924\&comma;0.07546878298\&comma;0.07560848783\&comma;0.07574838435\&comma;0.07588847310\&comma;0.07602875464\&comma;0.07616922952\&comma;0.07630989832\&comma;0.07645076158\&comma;0.07659181989\&comma;0.07673307380\&comma;0.07687452389\&comma;0.07701617071\&comma;0.07715801485\&comma;0.07730005687\&comma;0.07744229735\&comma;0.07758473686\&comma;0.07772737598\&comma;0.07787021528\&comma;0.07801325535\&comma;0.07815649677\&comma;0.07829994010\&comma;0.07844358595\&comma;0.07858743489\&comma;0.07873148752\&comma;0.07887574441\&comma;0.07902020615\&comma;0.07916487334\&comma;0.07930974657\&comma;0.07945482644\&comma;0.07960011352\&comma;0.07974560843\&comma;0.07989131177\&comma;0.08003722412\&comma;0.08018334609\&comma;0.08032967828\&comma;0.08047622130\&comma;0.08062297574\&comma;0.08076994223\&comma;0.08091712136\right]$

$\mathrm{ZR1}:=\mathrm{ZeroRate}\left(\mathrm{ZC}\&comma;0.5\&comma;\mathrm{compounding}\&equals;\mathrm{Continuous}\right)\&semi;$

$\mathrm{ZR1}:=0.04000000000$

$\mathrm{ZR2}:=\mathrm{ZeroRate}\left(\mathrm{ZC}\&comma;0.5\&comma;\mathrm{compounding}\&equals;\mathrm{Simple}\right)\&semi;$

$\mathrm{ZR2}:=0.04040268005$

$\mathrm{ZR2}\&equals;2\left({\&ExponentialE;}^{0.5\mathrm{ZR1}}-1\right)\&semi;$

$0.04040268005\&equals;0.040402680$

$\mathrm{Plot\_ZRS}:=\mathrm{Statistics}:-\mathrm{PointPlot}\left(\mathrm{ZRS}\&comma;\mathrm{xcoords}\&equals;\left[\mathrm{seq}\left(\frac{i}{100}\&comma;i\&equals;1..200\right)\right]\right)\&colon;$

${\mathrm{plots}}_{\mathrm{display}}\left(\mathrm{Plot\_ZRS}\&comma;\mathrm{Plot\_F}\&comma;\mathrm{thickness}\&equals;3\&comma;\mathrm{gridlines}\&equals;\mathrm{true}\&comma;\mathrm{axes}\&equals;\mathrm{BOXED}\right)\&semi;$

$\mathrm{ForwardRate}\left(\mathrm{ZC}\&comma;1\&comma;2\right)\&semi;$

$0.09000000000$

ZR := [seq(ZeroRate(ZC, i/100, compounding = Continuous), i = 1..200)];

$\mathrm{ZR}:=\left[0.01060000000\&comma;0.01120000000\&comma;0.01180000000\&comma;0.01240000000\&comma;0.01300000000\&comma;0.01360000000\&comma;0.01420000000\&comma;0.01480000000\&comma;0.01540000000\&comma;0.01600000000\&comma;0.01660000000\&comma;0.01720000000\&comma;0.01780000000\&comma;0.01840000000\&comma;0.01900000000\&comma;0.01960000000\&comma;0.02020000000\&comma;0.02080000000\&comma;0.02140000000\&comma;0.02200000000\&comma;0.02260000000\&comma;0.02320000000\&comma;0.02380000000\&comma;0.02440000000\&comma;0.02500000000\&comma;0.02560000000\&comma;0.02620000000\&comma;0.02680000000\&comma;0.02740000000\&comma;0.02800000000\&comma;0.02860000000\&comma;0.02920000000\&comma;0.02980000000\&comma;0.03040000000\&comma;0.03100000000\&comma;0.03160000000\&comma;0.03220000000\&comma;0.03280000000\&comma;0.03340000000\&comma;0.03400000000\&comma;0.03460000000\&comma;0.03520000000\&comma;0.03580000000\&comma;0.03640000000\&comma;0.03700000000\&comma;0.03760000000\&comma;0.03820000000\&comma;0.03880000000\&comma;0.03940000000\&comma;0.04000000000\&comma;0.04040000000\&comma;0.04080000000\&comma;0.04120000000\&comma;0.04160000000\&comma;0.04200000000\&comma;0.04240000000\&comma;0.04280000000\&comma;0.04320000000\&comma;0.04360000000\&comma;0.04400000000\&comma;0.04440000000\&comma;0.04480000000\&comma;0.04520000000\&comma;0.04560000000\&comma;0.04600000000\&comma;0.04640000000\&comma;0.04680000000\&comma;0.04720000000\&comma;0.04760000000\&comma;0.04800000000\&comma;0.04840000000\&comma;0.04880000000\&comma;0.04920000000\&comma;0.04960000000\&comma;0.05000000000\&comma;0.05040000000\&comma;0.05080000000\&comma;0.05120000000\&comma;0.05160000000\&comma;0.05200000000\&comma;0.05240000000\&comma;0.05280000000\&comma;0.05320000000\&comma;0.05360000000\&comma;0.05400000000\&comma;0.05440000000\&comma;0.05480000000\&comma;0.05520000000\&comma;0.05560000000\&comma;0.05600000000\&comma;0.05640000000\&comma;0.05680000000\&comma;0.05720000000\&comma;0.05760000000\&comma;0.05800000000\&comma;0.05840000000\&comma;0.05880000000\&comma;0.05920000000\&comma;0.05960000000\&comma;0.06000000000\&comma;0.06020000000\&comma;0.06040000000\&comma;0.06060000000\&comma;0.06080000000\&comma;0.06100000000\&comma;0.06120000000\&comma;0.06140000000\&comma;0.06160000000\&comma;0.06180000000\&comma;0.06200000000\&comma;0.06220000000\&comma;0.06240000000\&comma;0.06260000000\&comma;0.06280000000\&comma;0.06300000000\&comma;0.06320000000\&comma;0.06340000000\&comma;0.06360000000\&comma;0.06380000000\&comma;0.06400000000\&comma;0.06420000000\&comma;0.06440000000\&comma;0.06460000000\&comma;0.06480000000\&comma;0.06500000000\&comma;0.06520000000\&comma;0.06540000000\&comma;0.06560000000\&comma;0.06580000000\&comma;0.06600000000\&comma;0.06620000000\&comma;0.06640000000\&comma;0.06660000000\&comma;0.06680000000\&comma;0.06700000000\&comma;0.06720000000\&comma;0.06740000000\&comma;0.06760000000\&comma;0.06780000000\&comma;0.06800000000\&comma;0.06820000000\&comma;0.06840000000\&comma;0.06860000000\&comma;0.06880000000\&comma;0.06900000000\&comma;0.06920000000\&comma;0.06940000000\&comma;0.06960000000\&comma;0.06980000000\&comma;0.07000000000\&comma;0.07010000000\&comma;0.07020000000\&comma;0.07030000000\&comma;0.07040000000\&comma;0.07050000000\&comma;0.07060000000\&comma;0.07070000000\&comma;0.07080000000\&comma;0.07090000000\&comma;0.07100000000\&comma;0.07110000000\&comma;0.07120000000\&comma;0.07130000000\&comma;0.07140000000\&comma;0.07150000000\&comma;0.07160000000\&comma;0.07170000000\&comma;0.07180000000\&comma;0.07190000000\&comma;0.07200000000\&comma;0.07210000000\&comma;0.07220000000\&comma;0.07230000000\&comma;0.07240000000\&comma;0.07250000000\&comma;0.07260000000\&comma;0.07270000000\&comma;0.07280000000\&comma;0.07290000000\&comma;0.07300000000\&comma;0.07310000000\&comma;0.07320000000\&comma;0.07330000000\&comma;0.07340000000\&comma;0.07350000000\&comma;0.07360000000\&comma;0.07370000000\&comma;0.07380000000\&comma;0.07390000000\&comma;0.07400000000\&comma;0.07410000000\&comma;0.07420000000\&comma;0.07430000000\&comma;0.07440000000\&comma;0.07450000000\&comma;0.07460000000\&comma;0.07470000000\&comma;0.07480000000\&comma;0.07490000000\&comma;0.07500000000\right]$

$\mathrm{Plot\_ZR}:=\mathrm{Statistics}:-\mathrm{PointPlot}\left(\mathrm{ZR}\&comma;\mathrm{xcoords}\&equals;\left[\mathrm{seq}\left(\frac{i}{100}\&comma;i\&equals;1..200\right)\right]\right)\&colon;$

$\mathrm{IZC}:=\mathrm{ZeroCurve}\left(\left[''Jan-01-2006''\&comma;''July-01-2006''\&comma;''Jan-01-2007''\&comma;''Jan-01-2008''\&comma;''July-01-2008''\right]\&comma;\mathrm{rates}\right)\&colon;$

$\mathrm{IZR}:=\left[\mathrm{seq}\left(\mathrm{ZeroRate}\left(\mathrm{IZC}\&comma;\frac{i}{100}\&comma;\mathrm{compounding}\&equals;\mathrm{Continuous}\right)\&comma;i\&equals;1..200\right)\right]\&semi;$

$\mathrm{IZR}:=\left[0.01028350086\&comma;0.01057503900\&comma;0.01087484226\&comma;0.01118314498\&comma;0.01150018810\&comma;0.01182621942\&comma;0.01216149376\&comma;0.01250627316\&comma;0.01286082708\&comma;0.01322543264\&comma;0.01360037479\&comma;0.01398594659\&comma;0.01438244938\&comma;0.01479019306\&comma;0.01520949630\&comma;0.01564068683\&comma;0.01608410165\&comma;0.01654008732\&comma;0.01700900022\&comma;0.01749120684\&comma;0.01798708406\&comma;0.01849701944\&comma;0.01902141154\&comma;0.01956067019\&comma;0.02011521688\&comma;0.02068548501\&comma;0.02127192029\&comma;0.02187498106\&comma;0.02249513866\&comma;0.02313287778\&comma;0.02378869685\&comma;0.02446310846\&comma;0.02515663969\&comma;0.02586983259\&comma;0.02660324457\&comma;0.02735744885\&comma;0.02813303488\&comma;0.02893060884\&comma;0.02975079409\&comma;0.03059423167\&comma;0.03146158077\&comma;0.03235351930\&comma;0.03327074435\&comma;0.03421397282\&comma;0.03518394190\&comma;0.03618140968\&comma;0.03720715576\&comma;0.03826198183\&comma;0.03934671231\&comma;0.04013243564\&comma;0.04045653022\&comma;0.04078324208\&comma;0.04111259233\&comma;0.04144460230\&comma;0.04177929345\&comma;0.04211668744\&comma;0.04245680611\&comma;0.04279967144\&comma;0.04314530563\&comma;0.04349373103\&comma;0.04384497018\&comma;0.04419904581\&comma;0.04455598082\&comma;0.04491579831\&comma;0.04527852155\&comma;0.04564417400\&comma;0.04601277933\&comma;0.04638436138\&comma;0.04675894418\&comma;0.04713655198\&comma;0.04751720920\&comma;0.04790094046\&comma;0.04828777059\&comma;0.04867772462\&comma;0.04907082777\&comma;0.04946710548\&comma;0.04986658338\&comma;0.05026928731\&comma;0.05067524333\&comma;0.05108447770\&comma;0.05149701689\&comma;0.05191288759\&comma;0.05233211672\&comma;0.05275473138\&comma;0.05318075892\&comma;0.05361022689\&comma;0.05404316309\&comma;0.05447959553\&comma;0.05491955243\&comma;0.05536306225\&comma;0.05581015370\&comma;0.05626085569\&comma;0.05671519738\&comma;0.05717320816\&comma;0.05763491767\&comma;0.05810035578\&comma;0.05856955258\&comma;0.05904253845\&comma;0.05951934397\&comma;0.06000000000\&comma;0.06009256173\&comma;0.06018526626\&comma;0.06027811380\&comma;0.06037110458\&comma;0.06046423881\&comma;0.06055751672\&comma;0.06065093853\&comma;0.06074450446\&comma;0.06083821474\&comma;0.06093206958\&comma;0.06102606921\&comma;0.06112021386\&comma;0.06121450374\&comma;0.06130893908\&comma;0.06140352010\&comma;0.06149824704\&comma;0.06159312011\&comma;0.06168813954\&comma;0.06178330556\&comma;0.06187861839\&comma;0.06197407826\&comma;0.06206968539\&comma;0.06216544002\&comma;0.06226134236\&comma;0.06235739266\&comma;0.06245359113\&comma;0.06254993800\&comma;0.06264643351\&comma;0.06274307789\&comma;0.06283987135\&comma;0.06293681414\&comma;0.06303390648\&comma;0.06313114861\&comma;0.06322854075\&comma;0.06332608314\&comma;0.06342377600\&comma;0.06352161958\&comma;0.06361961410\&comma;0.06371775979\&comma;0.06381605689\&comma;0.06391450564\&comma;0.06401310626\&comma;0.06411185900\&comma;0.06421076407\&comma;0.06430982173\&comma;0.06440903221\&comma;0.06450839573\&comma;0.06460791255\&comma;0.06470758289\&comma;0.06480740698\&comma;0.06490738508\&comma;0.06500751741\&comma;0.06510780422\&comma;0.06520824574\&comma;0.06530884221\&comma;0.06540959387\&comma;0.06551050096\&comma;0.06561156371\&comma;0.06571278238\&comma;0.06581415719\&comma;0.06591568840\&comma;0.06601737624\&comma;0.06611922095\&comma;0.06622122278\&comma;0.06632338196\&comma;0.06642569875\&comma;0.06652817337\&comma;0.06663080609\&comma;0.06673359714\&comma;0.06683654676\&comma;0.06693965520\&comma;0.06704292271\&comma;0.06714634952\&comma;0.06724993590\&comma;0.06735368207\&comma;0.06745758830\&comma;0.06756165482\&comma;0.06766588188\&comma;0.06777026973\&comma;0.06787481863\&comma;0.06797952881\&comma;0.06808440052\&comma;0.06818943402\&comma;0.06829462956\&comma;0.06839998738\&comma;0.06850550773\&comma;0.06861119087\&comma;0.06871703705\&comma;0.06882304652\&comma;0.06892921952\&comma;0.06903555632\&comma;0.06914205716\&comma;0.06924872231\&comma;0.06935555200\&comma;0.06946254650\&comma;0.06956970606\&comma;0.06967703094\&comma;0.06978452138\&comma;0.06989217765\&comma;0.07000000000\right]$

$\mathrm{Plot\_IZR}:=\mathrm{Statistics}:-\mathrm{PointPlot}\left(\mathrm{IZR}\&comma;\mathrm{xcoords}\&equals;\left[\mathrm{seq}\left(\frac{i}{100}\&comma;i\&equals;1..200\right)\right]\right)\&colon;$

${\mathrm{plots}}_{\mathrm{display}}\left(\mathrm{Plot\_IZR}\&comma;\mathrm{Plot\_ZR}\&comma;\mathrm{Plot\_F}\&comma; \mathrm{axes} \&equals; \mathrm{BOXED}\&comma; \mathrm{gridlines} \&equals; \mathrm{true}\right)\&semi;$

$\mathrm{IDC}:=\mathrm{DiscountCurve}\left(\left[''Jan-01-2006''\&comma;''July-01-2006''\&comma;''Jan-01-2007''\&comma;''Jan-01-2008''\&comma;''July-01-2008''\right]\&comma;\mathrm{rates}\right)\&semi;$

$\mathrm{IDC}:=\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{IFC}:=\mathrm{ForwardCurve}\left(\left[''Jan-01-2006''\&comma;''July-01-2006''\&comma;''Jan-01-2007''\&comma;''Jan-01-2008''\&comma;''July-01-2008''\right]\&comma;\mathrm{rates}\right)\&semi;$

$\mathrm{IFC}:=\mathbf{module}\left(\right)\mathbf{end\; module}$

$\mathrm{Plot\_IDC\_IFC} ≔ \mathrm{plot}\left(\left[\mathrm{IDC}\&comma; \mathrm{IFC}\right]\&comma; 0 .. 2\&comma; \mathrm{thickness} \&equals; 2\&comma; \mathrm{color} \&equals; \left[\mathrm{red}\&comma; \mathrm{green}\right]\right)\&colon;$

${\mathrm{plots}}_{\mathrm{display}}\left(\mathrm{Plot\_IZR}\&comma; \mathrm{Plot\_IDC\_IFC}\&comma;\mathrm{axes} \&equals; \mathrm{BOXED}\&comma; \mathrm{gridlines} \&equals; \mathrm{true}\right)\&semi;$

John C. Hull, Options, Futures, and Other Derivatives, Prentice Hall, 2002