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1. You observe the following swap rates c(0,T;): I T 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 c(0,T.) 6.10% 6.50% 6.85% 6.98% 7.08%
1. You observe the following swap rates c(0,T;): I T 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 c(0,T.) 6.10% 6.50% 6.85% 6.98% 7.08% 7.17% 7.26% 7.31% (a) Find the discount factors for each maturity. Do they imply any arbitrage opportunity in the market? (b) Find the corresponding semiannually compounded interest rates r2(, T:). (c) What is the forward price for a 6% coupon bond with semiannual payments with delivery in 2 years and 2 year remaining maturity (at the delivery) P/ (0, 2, 4)?
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International Financial Reporting And Analysis
Authors: David Alexander, Ann Jorissen, Martin Hoogendoorn
8th Edition
978-1473766853, 1473766850
