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Assume that the annual) spot rates for maturities strictly shorter than 4 years, given on a semi-annual basis are: 1.3% (0.5 years), 1.5% (1 year),
Assume that the annual) spot rates for maturities strictly shorter than 4 years, given on a semi-annual basis are: 1.3% (0.5 years), 1.5% (1 year), 1.7% (1.5 years), 1.9% (2 years), 2% (2.5 years), 2.3% (3 years) and 2.2% (3.5 years). What is the 4-year spot rate, knowing that a Government bond expiring 4 years from now has a coupon rate of 4% and a dirty price of 104.3 per 100 nominal? 2.77% 5.83% % 2.92% 1.39%
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