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At date t = 0, we observe the following zero-coupon rates in the market. Maturity Liquidity R(0,t) Premium t L(t) 1 4.000% 2 5.000%
At date t = 0, we observe the following zero-coupon rates in the market. Maturity Liquidity R(0,t) Premium t L(t) 1 4.000% 2 5.000% 0.200% 3 5.500% 0.275% 4 6.890% 0.325% 5 6.730% 0.210% Taking into account these rates and liquidity premia, what is the 1-year maturity future rates expected by the market Fa(0,4,5)? Answer in percentage with 3 decimal digits accuracy. Example: 8.561. Excel Worksheet
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