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If the current four year zero coupon rate is 2.5% and the six year zero coupon rate is 2.62%, then the implied arbitrage-free forward two-year
If the current four year zero coupon rate is 2.5% and the six year zero coupon rate is
2.62%, then the implied arbitrage-free forward two-year zero coupon rate beginning
in four years' time must be closest to:
A. 2.58%
B. 2.68%
C. 2.74%
D. 2.86%
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