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1) If the 6-month zero rate is 0.20% and the 12-month zero rate is 0.30%, then what does the market expect the 6-month zero rate
1) If the 6-month zero rate is 0.20% and the 12-month zero rate is 0.30%, then what does the market expect the 6-month zero rate to be in 6 months?
2) If the 6-month par rate is 0.20% and the 12-month par rate is 0.30%, then what is the 12-month zero rate?
3) If the 48-month zero rate is 3.00%, then what is the present value of a 100 USD cash flow that arrives in 48 months? Report a positive number.
4)
What is the yield-to-maturity of a 4-year, 1000 USD 10% coupon bond that makes semi-annual coupon payments? The zero rates are
Months | Period | Zero Rate |
6 | 1 | 0.20% |
12 | 2 | 0.30% |
18 | 3 | 0.50% |
24 | 4 | 0.80% |
30 | 5 | 1.20% |
36 | 6 | 1.70% |
42 | 7 | 2.30% |
48 | 8 | 3.00% |
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