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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Auditing
Authors: Alan Millichamp, John Taylor
11th Edition
1473749301, 978-1473749306
