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Consider a contract that pays out $1,143 in 6 months, $101 in 12 months, $62 in 18 months, $30 in 2 years. Price this contract,
Consider a contract that pays out $1,143 in 6 months, $101 in 12 months, $62 in 18 months, $30 in 2 years. Price this contract, assuming the following yield curve:
time | spot rate |
6-month | 1% |
12-month | 2% |
18-month | 2.5% |
24-month | 2.8% |
Assume semi-annual compounding. Round your answer to the nearest cent (2 decimal places).
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