Question
Maturity Overnight 1 month 2 months 3 months 6 months 9 months 1 year Zero Rate 4.40% 4.50% 4.60% 4.70% 4.90% 5.00% 5.10% Coupon Maturity
Maturity Overnight 1 month 2 months 3 months 6 months 9 months 1 year
Zero Rate 4.40% 4.50% 4.60% 4.70% 4.90% 5.00% 5.10%
Coupon Maturity Price
Bond 1 5% 1 year and 3 months $104
Bond 2 6% 1 year and 1 month $101
Given the information about the spot rates and bonds, calculate the following. Assume annual compounding of the discount rate.
- What is the 1 year and 3 month spot rate?
- What is the 1 year and 1 month spot rate?
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Investments Analysis and Management
Authors: Charles P. Jones
12th edition
978-1118475904, 1118475909, 1118363299, 978-1118363294
