Question
10. Calculate the 3y1y implied forward rate (IFR6,2). A=6, B=8, B-A=2 six month periods. Assume the three-year spot rate z6 is 2.983% and the four-year
10. Calculate the 3y1y implied forward rate (IFR6,2). A=6, B=8, B-A=2 six month periods. Assume the three-year spot rate z6 is 2.983% and the four-year spot rate z8 is 2.883%, assuming semiannual compounding:
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Project Financing Financial Instruments And Risk Management
Authors: Frank J Fabozzi, Carmel De Nahlik
1st Edition
9811231494, 9789811231490
