10.5. Let Bt price per $100 of face value of a zerocoupon bond maturing at year...
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10.5. Let Bt price per $100 of face value of a zerocoupon bond maturing at year t. Then, if B1 $94.00, B2 $88.20, B3 $81.50, B4 $76.00, and B5 $73.00, implying that the term structure of interest rates is no longer flat:
a. Determine zero-coupon rates for years 1 through 5 to the nearest .01 percent.
b. Let’s now reconsider the tracking portfolio in exercise 10.4. What is the cost or revenue associated with such a tracking portfolio at date 0 under the new term structure?
c. What is the NPV of project X under the new term structure?
d. How are your answers to parts b and c related?
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Related Book For 
Financial Markets And Corporate Strategy
ISBN: 9780071157612
2nd Edition
Authors: Mark Grinblatt, Sheridan Titman
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