Question
It is now June 2030 and you observe the following p.a. zero coupon rates for default free credits for different maturities (they are quoted both
It is now June 2030 and you observe the following p.a. zero coupon rates for default free credits for different maturities (they are quoted both in discrete and continuous terms, you may use either for your calculations, or both to check).
Maturity | Jun 2031 | Jun 2032 | Jun 2033 | Jun 2034 | Jun 2035 | Jun 2036 | Jun 2037 |
Discrete | 1.0050% | 2.0201% | 3.0454% | 4.0811% | 5.1271% | 6.1837% | 7.2508% |
Continuous | 1.0000% | 2.0000% | 3.0000% | 4.0000% | 5.0000% | 6.0000% | 7.0000% |
What is the current value as at June 2030 of the forward loan that was fixed with the BoE (to 2 decimal places, USE -ve if it is a LIABILITY)?
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