Question
A Singapore treasury bond maturing at year 1.5 has a YTM of 5.75% and is trading at par value. You further gather that the YTM
A Singapore treasury bond maturing at year 1.5 has a YTM of 5.75% and is trading at par value. You further gather that the YTM of a zero-coupon bond maturing at year 0.5 is 5.25% and at year 1 is 5.5%, respectively. What is the spot rate at year 1.5? All rates are based on semi-annual compounding.
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SOLUTION We can use the bootstrapping method to find the spot rate at year 15 The idea behind this m...
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Linear Algebra A Modern Introduction
Authors: David Poole
3rd edition
9781133169574 , 978-0538735452
