Question
1. The following are the spot interest rates for 1- and 2-year fixed income securities. Spot 1 Year Spot 2 Year Forward 1Year (1 year
1. The following are the spot interest rates for 1- and 2-year fixed income securities.
Spot 1 Year Spot 2 Year Forward 1Year (1 year maturity)
Treasury 3.0% 4.75% x
BBB Corporate Debt 7.5% 9.15% y
- Calculate the value of x (the implied forward rate on 1-year maturity Treasury at the end of the year) and the value of y (the implied forward rate on 1 year maturity BBB corporate debt at the end of one year).
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Finance And Sustainability Proceedings From The Finance And Sustainability Conference Wroclaw 2017
Authors: Agnieszka Bem, Karolina Daszy?ska-?ygad?o , Ta?ána Hajdíková, Péter Juhász
1st Edition
3319922270,3319922289
