Question
Consider a 6-month forward contract to buy a 5-year bond providing 6% annual coupon paid annually on a principal of 200. The first coupon
Consider a 6-month forward contract to buy a 5-year bond providing 6% annual coupon paid annually on a principal of 200. The first coupon is expected in 1 year. The current price of the bond is 1052. The risk-free interest rates are described in the table below. Find the 6-month risk free interest rate if the forward price is 1076. (5 points) Maturity 1 year 2 years 3 years 4 years 5 years Rate per annum with continuous compounding 5.37% 6.82% 8.2% 8.7% 9%
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Advanced Accounting
Authors: Paul M. Fischer, William J. Tayler, Rita H. Cheng
11th edition
538480289, 978-0538480284
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