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Exercise 6 ( marks for each part, 3 marks total). Suppose t 0. Recall that Z(A,T2) is the price at time T1 of a ZCB
Exercise 6 ( marks for each part, 3 marks total). Suppose t 0. Recall that Z(A,T2) is the price at time T1 of a ZCB with maturity T2 and F(T,,T,,T,) is the forward price at time T, for a forward contract with maturity T2 on a ZCB with maturity T3. For each pair A, B choose the most appropriate relationship out of 2,
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