Question
Consider a $1000 par value, 2-year T-Bond with a 4.25% semi-annual coupon payment ($21.25 per period). Use the following Treasury (Bill and/or Strip) zero rates
Consider a $1000 par value, 2-year T-Bond with a 4.25% semi-annual coupon payment ($21.25 per period). Use the following Treasury (Bill and/or Strip) zero rates to find the current value of the bond. Assume today is March 2021
| Date | t | Zero Rates |
| Sept 2021 | 0.5 | 0.50% |
| March 2022 | 1.0 | 1.25% |
| Sept 2022 March 2023 | 1.5 2.0 | 2.00% 2.50% |
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Mathematical Finance Core Theory Problems And Statistical Algorithms
Authors: Nikolai Dokuchaev
1st Edition
0415414482, 978-0415414487
