Question
Suppose 6-month LIBOR is 3% per year (continuous compounding) and a 1-year 5% coupon bond has a YTM (semi-annual compounding) of 4% per year. What
Suppose 6-month LIBOR is 3% per year (continuous compounding) and a 1-year 5% coupon bond has a YTM (semi-annual compounding) of 4% per year. What is the implied rate on a zero-coupon bond with 1-year to maturity (express in continuous compounding)?
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The Handbook Of Portfolio Mathematics
Authors: Vince
1st Edition
0471757683, 978-0471757689
