1.: R(0, t) is the Spot Zero-Coupon (or Discount) Rate. It is the annualized rate on a pure Unit Discount bond B(0, t) - the bond that pays 1 dollar at time t. Assume that R =10.90 per cent. What is the price of B * (0, 9) deg ? Answer with three decimal digits accuracy . Example : 0.728 Blank Excel Worksheet Your Answer : Answer

2.At date t = 0 , we observe the following zerocoupon rates in the market MaturityLiquidity R(0, t) Premium L t) t 1 4.000 % 2 5.000 % 0.200 % 3 5.500 % 0.275 % 4 5.740 % 0.325 % 5 6.910 % 0.320 % Taking into account these rates and liquidity premia , what is the 1 - year maturity future rates expected by the market Fa(0, 4, 5) Answer in percentage with decimal digits accuracy . Example : 8.561 . Blank Excel Worksheet Your Answer :

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