Question
Consider a bond that has a current value of 107.62, a coupon of8% (paid semi-annually), and 2 years to maturity. If the spot ratecurve is
Consider a bond that has a current value of 107.62, a coupon of8% (paid semi-annually), and 2 years to maturity. If the spot ratecurve 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 _____________.
Consider a bond that has a current value of 107.62, a coupon of8% (paid semi-annually), and 2 years to maturity. If the spot ratecurve 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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Financial Theory and Corporate Policy
Authors: Thomas E. Copeland, J. Fred Weston, Kuldeep Shastri
4th edition
321127218, 978-0321179548, 321179544, 978-0321127211
