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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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