Question
According to the pure expectations theory of interest rates, how much do you expect to pay for a one-year STRIPS on February 15, 2011? What
According to the pure expectations theory of interest rates, how much do you expect to pay for a one-year STRIPS on February 15, 2011? What is the corresponding implied forward rate? How does your answer compare to the current yield on a one-year STRIPS? What does this tell you about the relationship between implied forward rates, the shape of the zero coupon yield curve, and market expectations about future spot interest rates?
| maturity | price | maturity | price |
| may '13 | 99.624 | may '16 | 97.682 |
| may '14 | 99.218 | may '17 | 96.375 |
| may '15 | 98.686 | may '18 | 94.686 |
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Emotions In Finance Booms Busts And Uncertainty
Authors: Jocelyn Pixley
2nd Edition
1107633370, 978-1107633377
