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4. (20) Suppose we know from market prices the following zero-coupon rates with maturities inferior or equal to 1 year. Maturity Zero-coupon rate (%) 1

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4. (20) Suppose we know from market prices the following zero-coupon rates with maturities inferior or equal to 1 year. Maturity Zero-coupon rate (%) 1 Day 4.40 1 Month 4.50 2 Months 4.60 3 Months 4.70 6 Months 4.90 9 Months 5.00 1 Year 5.10 Furthermore, we have the prices for the following coupon bonds Maturity 1 Year and 2 Months 1 Year and 9 Months 2 Year and 3 Months Annual Coupon % Gross Price 5 103.7 6 102 7 99 Use the bootstrapping method and linear interpolation to compute the 2 year 3 month zero-coupon rate

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