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please show work Problem 1: [12 points total, 3 points each] Given the following information, use the bootstrapping procedure to compute the 6, 12, 18,
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Problem 1: [12 points total, 3 points each] Given the following information, use the bootstrapping procedure to compute the 6, 12, 18, and 24 month spot rates. Note, to receive full credit, express the spot rates as semi-annual APRs per bond market convention. The bonds pay coupons semi-annually. Bond D, Price 1 Coupon Maturity Rate (years) 4% 0.5 3% 1.0 4% 1.5 0% 2.0 101.0 100.0 101.0 93.0 3 a. 6-month spot rate Zo x 0.5= b. 12-month spot rate Zox1= _ c. 18-month spot rate Zo x 1.5 = _ d. 24-month spot rate Zo x 2 = Problem 1: [12 points total, 3 points each] Given the following information, use the bootstrapping procedure to compute the 6, 12, 18, and 24 month spot rates. Note, to receive full credit, express the spot rates as semi-annual APRs per bond market convention. The bonds pay coupons semi-annually. Bond D, Price 1 Coupon Maturity Rate (years) 4% 0.5 3% 1.0 4% 1.5 0% 2.0 101.0 100.0 101.0 93.0 3 a. 6-month spot rate Zo x 0.5= b. 12-month spot rate Zox1= _ c. 18-month spot rate Zo x 1.5 = _ d. 24-month spot rate Zo x 2 =Step by Step Solution
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