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(4) Consider the following LIBORs in percentage, where T = years, for 0 Sis 3. Thus, a = Maturities To Ti T, T, Lo 0,
(4) Consider the following LIBORs in percentage, where T = years, for 0 Sis 3. Thus, a = Maturities To Ti T, T, Lo 0, 1.788 1.805 1.852 1.883 (a) Determine the prices of ZCBs Z(0,T) for i = 0,...,3. Round your answers to 7 decimal points. Maturities | To | Ti Ts | Ts] (F(O,To,-) IL x x 1 x 2(0) IT (b) Determine the forward prices F(0,Ti,T;) of ZCBs, for all 0 Si
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