Question
Current 1-year spot rate is 3.5%. Annual volatility of interest rates is 10%. If r_{r_{1,L}} r 1,L =4.0%, calculate the price of a 2-year bond
Current 1-year spot rate is 3.5%. Annual volatility of interest rates is 10%. If r_{r_{1,L}} r 1,L =4.0%, calculate the price of a 2-year bond with annual 5% coupon (paid annually). Assume face value of $100.
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Cost Benefit Analysis
Authors: Harry F. Campbell, Richard P.C. Brown
3rd Edition
1032320753, 9781032320755
