6.1.3 A 10% bond with face amount 100 matures in 3 years. (a) Find the value of the bond based on each of the following term structures for zero coupon bond spot rates, where r, denotes the nominal annual spot rate convertible semiannually for a t-year term zero coupon bond. (1) rs =.075 n =.0775 11.5 =.08 m2 =.08 12.5 =.0825 rz =.085 (ii) rs = .14 r = 1375 rs =.135 =.1325 P2.5 =.13 rz =.1275 (iii) rs = 12 15.12 11.5 =.12 = 12 12.5 =.12 z =.12 (b) For each of the bond prices found in (a), find the corresponding yield to maturity. (C) Repeat part (a) for an 8% bond and for a 12% bond