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1. Suppose tT1 0. Recall that Z(T1,T2) is the price at time T1 of a ZCB with maturity T2, and F(T1,T2,T3) is the price at
1. Suppose tT10. Recall that Z(T1,T2) is the price at time T1 of a ZCB with maturity T2, and F(T1,T2,T3) is the price at time T1 of a forward contract with maturity T2 on a ZCB of maturity T3. (a) For each of the pairs A and B in the table below, choose the most appropriate relationship of ,,=, and ?, where ? means that there is not enough information to determine the answer. Give brief reasoning. You can assume that interest rates are nonnegative. Hint: Remember that at current time t0 and Z(t,T2)=0 ? 1. Suppose tT10. Recall that Z(T1,T2) is the price at time T1 of a ZCB with maturity T2, and F(T1,T2,T3) is the price at time T1 of a forward contract with maturity T2 on a ZCB of maturity T3. (a) For each of the pairs A and B in the table below, choose the most appropriate relationship of ,,=, and ?, where ? means that there is not enough information to determine the answer. Give brief reasoning. You can assume that interest rates are nonnegative. Hint: Remember that at current time t0 and Z(t,T2)=0
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