Question
On May 23, 20XX, the existing or current (spot) one-year, two-year, three-year, and four-year zero-coupon Treasury security rates were as follows: 1 R 1 =
On May 23, 20XX, the existing or current (spot) one-year, two-year, three-year, and four-year zero-coupon Treasury security rates were as follows:
| 1R1 = 6.00%, | 1R2 = 6.50%, 1R3 = 7.00%, | 1R4 = 7.20% |
Using the unbiased expectations theory, what is the one-year forward rate on zero-coupon Treasury bonds for year four as of May 23, 20XX
O 6.675%
O 7.20%
O 7.80%
O 24.59%
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Risk Sharing Finance
Authors: Bakkali Mirakhor, Saad Abbas
1st Edition
3110590468, 978-3110590463
