Use the methodology in the chapter to price for dates that do not fall exactly on the quarter or period dates (see Figure 9.11). The current date is in November and no six-month figure has been quoted for the period December to June but the prices shown are available with a sloping yield curve.

The due date is halfway through the period March to June, so it is necessary to work out a rate for December to June and another for March to June and then prorate the difference.

Transcribed Image Text:

Figure 9.11 4 Exercise data A B C D E F Prices 7 01 9 10 11 12 5698 a 2 1234 December 9400 6.0000 March 9390 6.1000 June 9380 6.2000 September 9370 6.3000 Period 4.00