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Consider a bond that has a current value of 107.62, a coupon of 8% (paid semi-annually), and 2 years to maturity. If the spot rate
Consider a bond that has a current value of 107.62, a coupon of 8% (paid semi-annually), and 2 years to maturity. If the spot rate curve is the following:
| Maturity | Spot rate |
| 0.5 | 0.6% |
| 1.0 | 1.4% |
| 1.5 | 2.7% |
| 2.0 | 4% |
the arbitrage-free value of the bond is _____________.
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The Almanack Of Stanley Druckenmiller From Over 40 Years Of Investing Wisdom With Quantum Fund And Duquesne Capital Management
Authors: Rui Zhi Dong
1st Edition
B0B3NV2H9M, 979-8850611453
