Q1a and c

Question 4 Given that the prices of 1-year, 2-year and 3-year zero-coupon bonds are P(0,1) = 0.99, P(0,2) = 0.97 and P(0,3) = 0.94, respectively. Calculate the following rates. (a) All spot rates and all 1-year implied forward rates. (10 marks) (b) 2-year par coupon rate. (3 marks) (c) 3-year swap rate. (3 marks) (TOTAL: 16 marks) Question 4 Given that the prices of 1-year, 2-year and 3-year zero-coupon bonds are P(0,1) = 0.99, P(0,2) = 0.97 and P(0,3) = 0.94, respectively. Calculate the following rates. (a) All spot rates and all 1-year implied forward rates. (10 marks) (b) 2-year par coupon rate. (3 marks) (c) 3-year swap rate. (3 marks) (TOTAL: 16 marks)