5.11 The bootstrap Method continued To calculate the 1.5 year rate we solve 0.104690.5 +4e 0.10536×1.0 +104e-k5=96 to get R=0.10681010.681% Similarly the two-year rate is 10.808% Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 5.11 The Bootstrap Method continued • To calculate the 1.5 year rate we solve to get R = 0.10681 or 10.681% • Similarly the two-year rate is 10.808% 4 4 104 96 0.10469 0.5 0.10536 1.0 1.5 + + = −  −  −R e e e