Exercise . Consider a bond market in which the annually compounded zerocoupon yields of maturities from
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Exercise . Consider a bond market in which the annually compounded zerocoupon yields of maturities from to years are yˆ
= %, yˆ
= %, yˆ
= .%, yˆ
= .%, yˆ
= .%.
What are the corresponding discount factors BT, T = , , ... , ? What are the
-year forward rates ˆf T,T+
, T = , , ... , ?
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