Q3. Consider the discount factors for the following eight dates Date Price 3m 0.9928 6m 0.9849 9m 0.9762 ly 0.9689 15m 0.9580 18m 0.9495 21m 0.9407 2y 0.9325 - - 2 a) What are the annualized, continuously-compounded rates applicable for loans with maturities t3 = 9m, respectively to = 18m? b) What is the price of a bond paying semi-annual coupon at the rate of 6.50% maturing in 21 months? Report both the clean and the dirty price. (You can assume here that each month is 30 days.) c) What is the yield to maturity of this bond? d) Consider the rate that can be locked in advance to borrow between dates t2 6m and t4 = ly, i.e., the forward rate f(0, t2,64). What is the value of f(0, t2, t4)? If to = 18m, what are f(0, t2,te) and f(0,t4,te)? = = = 2 Q3. Consider the discount factors for the following eight dates Date Price 3m 0.9928 6m 0.9849 9m 0.9762 ly 0.9689 15m 0.9580 18m 0.9495 21m 0.9407 2y 0.9325 - - 2 a) What are the annualized, continuously-compounded rates applicable for loans with maturities t3 = 9m, respectively to = 18m? b) What is the price of a bond paying semi-annual coupon at the rate of 6.50% maturing in 21 months? Report both the clean and the dirty price. (You can assume here that each month is 30 days.) c) What is the yield to maturity of this bond? d) Consider the rate that can be locked in advance to borrow between dates t2 6m and t4 = ly, i.e., the forward rate f(0, t2,64). What is the value of f(0, t2, t4)? If to = 18m, what are f(0, t2,te) and f(0,t4,te)? = = = 2