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(C) 5. (a) Find the corresponding change in the instantaneous interest rate curve if the zero rate curve changes by S. (b) Consider r(0, t)
(C) 5. (a) Find the corresponding change in the instantaneous interest rate curve if the zero rate curve changes by S. (b) Consider r(0, t) = 0.02+ 0.01 1 +t + 0.05 In(1 + t), and 8 = 0.001, 6 = 0.002. Find ri(t) and the corresponding change. 6. Assume that the continuously compounded instantaneous interest rate curve is given by ri(t) = 0.02 + 0.05 In(1 + 0.2t)
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