Lecture Five: In$-$Class Exercise on Interest Rate Forward

The coupon rates on one$-$year, two$-$year, and three$-$year par coupon bonds are $5\%,5\mathrm{.}97\%,$ and $6\mathrm{.}91\%.$

a$.$ What are the bond yields for one$-$year zero$-$coupon bond, two$-$year zero$-$coupon bond, and three$-$year zero$-$coupon bond, respectively? $($They are the discount rate for cash flows in corresponding years.$)$

b$.$ What is the implied forward rate from year $2$ to year $3?$

c$.$ What is the forward pricefor a one$-$year zero$-$coupon bond which will be issued in year $2?$