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(6 points) Suppose that the current term structure has the following annual yields convert- ible semiannually on zero coupon bonds. a) Determine the price of
(6 points) Suppose that the current term structure has the following annual yields convert-\ ible semiannually on zero coupon bonds.\ a) Determine the price of a 1-year ZCB with face value 100. [Sol: 87.344]\ b) Determine the price of a 1-year coupon bond with coupon rate of
10%
(paid semian-\ nually) and face value 100 . [Sol: 96.473]\ c) Determine the (nominal) yield to maturity of the coupon bond as in point b). [Sol:\
13.898%
]
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