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Consider again the zero rates and maturities in the table of the previous problem. Suppose that B is a bond with maturity T = 3

Consider again the zero rates and maturities in the table of the previous problem. Suppose that

B

is a bond with maturity

T = 3

years, and which pays an annual coupon of

C = 6 % .

Suppose

further that its annually compounded yield is

5.3 % .

What is the continuously compounded spot

rate for maturity

3

years?

Please Do Question

3

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