Basis Swap

DavideV

New Member
Hi to everyone, I'm a student enrolled in a Quantitative Finance Master and I have troubles with an exercise concernig a basis swap.
I have 2 spot term structures of 2 floating bond, the first pays three-monthly and the second pays four-monthly, but I have to compute the semestral spread!
SPS1 = [ (0; 1) = 0:031; i (0; 2) = 0:033; i (0; 3) = 0:04; i (0; 4) = 0:042; i (0; 5) = 0:045]

SPS2 = [(0; 1) = 0:012; i (0; 2) = 0:02; i (0; 3) = 0:031; i (0; 4) = 0:04; i (0; 5) = 0:045]

Now, my problem is that last spot rates are the same, so with the canonic formula the numerator of the spread is 0.
How can I compute the semestral spred?
 
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