Suppose the following information is available: 4-year spot rate = 6% 7-year spot rate = 6.8% What

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Suppose the following information is available:

4-year spot rate = 6%

7-year spot rate = 6.8%

What is the implied forward rate on a 3-year zero coupon Treasury four years from now quoted on a bond-equivalent basis?

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Introduction To Fixed Income Analytics

ISBN: 9780470572139

2nd Edition

Authors: Steven V. Mann, Frank J. Fabozzi

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