Question
Given the following Australian market data The price of a 3 month bill with face value $250,000 is $246,913.58, The price of a 6
Given the following Australian market data The price of a 3 month bill with face value $250,000 is $246,913.58, The price of a 6 month bond paying quarterly coupons, with face value $500,000 and annual coupon rate of 8% is $506, 135.60, The quoted price of a 6-month futures on a 3-month bill is 92.998, and The swap rate on a one year swap with quarterly exchanges of interest is 6.4798%, determine the prices of zero coupon bonds with maturities of 0.25, 0.50, 0.75 and 1 years and the corresponding quarterly-compounded interest rates.
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College Mathematics for Business Economics Life Sciences and Social Sciences
Authors: Raymond A. Barnett, Michael R. Ziegler, Karl E. Byleen
12th edition
321614003, 978-0321614001
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