Question
Suppose current zero rates are as follows: 1-year: 3.25%; 2-year: 3.30%; 3-year: 3.47%; 4-year: 3.65%; 5-year: 3.75% all continuously compounded. Compute the following forward rates:
- Suppose current zero rates are as follows:
1-year: 3.25%; 2-year: 3.30%; 3-year: 3.47%; 4-year: 3.65%; 5-year: 3.75%
all continuously compounded.
Compute the following forward rates:
(a) one-year forward rate three years from now;
(b) three year forward rate one year from now.
Answer:
- 4.19
- 3.78
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Dividend Growth Investing Machine
Authors: Andrew P.C.
1st Edition
1521728461, 978-1521728468
