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Consider the following countinuous compunding LIBOR spot rates: 3M (2,2% pa.), 6M (2,3% pa.), 9M (2,6% pa.), 12M (3% pa.). Find a simple compunding rate
Consider the following countinuous compunding LIBOR spot rates: 3M (2,2% pa.), 6M (2,3% pa.), 9M (2,6% pa.), 12M (3% pa.). Find a simple compunding rate pa. (interest compounded each 4M) which is equivalent to forward rate pa (under countinuous compunding for period starting from the end of 6M till the end of 9M).
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The Financial System Financial Regulation And Central Bank Policy
Authors: Thomas F. Cargill
1st Edition
1107035678, 9781107035676
