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Here is a table of zero coupon bond prices: the future price is $1. Maturity: price 1 year 0.99010 2 year 0.97066 3 year 0.94929
Here is a table of zero coupon bond prices: the future price is $1.
Maturity: price
1 year 0.99010
2 year 0.97066
3 year 0.94929
- calculate the corresponding spot rates (1yr, 2yr, 3yr)?
- calculate the 1 year rate deferred 1 year F[1,2]?
- calculate the 1 year rate deferred 2 years F[2,3].
- calculate the 2 year rate deferred 1 year F[1,3]?
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An Introduction to Measure Theoretic Probability
Authors: George G. Roussas
2nd edition
128000422, 978-0128000427
