Exercise 3.7 We consider the following increasing zero-coupon yield curve: Maturity R(0, t) (%) Maturity R(0, t) (%) 1 year 2 years 3 years 4 years 5.000 5.500 5.900 6.200 6.382 6 years 7 years 8 years 9 years 10 years 6.550 6.650 6.741 6.830 6.900 5 years where R(0, t) is the annually compounded zero-coupon rate at date 0 with residual maturity t. 24 Fixed Income Securities 1. Find the continuously compounded zero-coupon yield curve. 2. Draw the two curves on the same graph. Conclude. Exercise 3.7 We consider the following increasing zero-coupon yield curve: Maturity R(0, t) (%) Maturity R(0, t) (%) 1 year 2 years 3 years 4 years 5.000 5.500 5.900 6.200 6.382 6 years 7 years 8 years 9 years 10 years 6.550 6.650 6.741 6.830 6.900 5 years where R(0, t) is the annually compounded zero-coupon rate at date 0 with residual maturity t. 24 Fixed Income Securities 1. Find the continuously compounded zero-coupon yield curve. 2. Draw the two curves on the same graph. Conclude