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Price a 3-year. 4% annual coupon, $1000 par bond putable at par in year 1 and year 2, using the following calibrated interest rate model.
Price a 3-year. 4% annual coupon, $1000 par bond putable at par in year 1 and year 2, using the following calibrated interest rate model. Assume annual compounding. Round your answer to 2 decimal places. t = 0 t = 1 t=2 r_2,HH = 6.7% r_1.H = 3.4% r0 = 1.3% r_2, HL = 3.1% r_1.L = 2.4% r 2.LL = 2.7%
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Introductory Econometrics For Finance
Authors: Chris Brooks
3rd Edition
1107661455, 9781107661455
