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Problem 1 1 a In a given economy, spot yields are 3 , 4 , 5 , and 6 percent ( per annum, with S
Problem a
In a given economy, spot yields are and percent per annum, with SA
compounding at tenors and months.
What are discount factors at those same tenors?
What is the market value of a riskfree SA bullet with a coupon rate of
per annum, a redemption value of $ and that matures in months?
Problem b
In this exercise we practice going from spot to par and from swap to spot.
In one economy, spot yields are and percent per annum, with SA
compounding at tenors and months. What are par yields at those
same tenors?
In a different economy, swap rates are and percent per annum, with
SA compounding at tenors and months. What are spot yields at
those same tenors?
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