Question
A three-year, $1,000, 4%, par value bond with annual coupons sells for $990, a two-year, $1,000, 3% bond with annual coupons sells for $988, and
A three-year, $1,000, 4%, par value bond with annual coupons sells for $990, a two-year, $1,000, 3% bond with annual coupons sells for $988, and a one-year, zero coupon, $1,000 bond sells for $974. Determine the spot rates r1, r2, and r3.
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Capital Markets Institutions And Instruments
Authors: Frank J. Fabozzi, Franco Modigliani
4th Edition
0136026028, 9780136026020
