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Based on the bond information provided in Table 1, calculate the missing zero rates Z 0.5 ,Z 1 and Z 1.5 . Table 1 Time

Based on the bond information provided in Table 1, calculate the missing zero rates Z0.5,Z1 and Z1.5.

Table 1

Time to Maturity (years)

Coupon

Rate

(p.a.)

Face Value Price

Annualised

Zero

Rate

0.5 0% $100 $97.77 Z0.5
1.0 0% $100 $95.12 Z1
1.5 4% $100 $98.20 Z1.5

Note that all zero rates quoted are continuously compounded. Coupons are paid semi-annually.

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