Question
A 10-year bond has a par coupon of 3% and a duration of 9. A 5-year bond has a par coupon of 2% and a
A 10-year bond has a par coupon of 3% and a duration of 9. A 5-year bond has a par coupon of 2% and a duration of 4.75. What is the 5 years into 5 years forward rate? Please use just the information above.
Hint1: for a par bond, DV01 x Coupon = PV of Coupons.
Hint2: DV01 is additive, and a 10yr bond = 5yr bond + 5y5ybond
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Satoshi S Vision The Art Of Bitcoin
Authors: Craig Wright ,Paul Democritou
1st Edition
1688735925, 978-1688735927
