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Give and describe the no-arbitrage table to price a 2-year zero coupon loan 2 years from now, accounting for the actions of all parties. For

Give and describe the no-arbitrage table to price a 2-year zero coupon loan 2 years from now, accounting for the actions of all parties. For concreteness sake, use the par yield curve in question 1. What is the lockable, annualized rate for such a loan?

Period

Maturity (yrs)

Yield (BEY %)

CF ($)

1

0.5

0.5

10

2

1

2

20

3

1.5

3

100

4

2

4

-30

5

2.5

5

50

6

3

6

50

7

3.5

7

100

8

4

7.5

200

9

4.5

8

0

10

5

8.4

1,000

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