Question
9. The 3-year, 5-year, and 7-year zero rates are 1%, 2%, and 3%. The rates are given per annum with annual compounding. a) What
9. The 3-year, 5-year, and 7-year zero rates are 1%, 2%, and 3%. The rates are given per annum with annual compounding. a) What are the zero coupon bond prices with maturities of 3 years, 5 years, and 7 years? (Assume that you receive a face value of $100 for each of these bonds on their maturity dates). b) What is the forward rate for an investment initiated 3 years from today and maturing 5 years from today? (Give your answer per annum with continuous compounding)? c) What is the forward rate for an investment initiated 3 years from today and maturing 7 years from today? (Give your answer per annum with annual compounding)?
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Options Futures And Other Derivatives
Authors: John Hull
9th Global Edition
1292212896, 9781292212890
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