Question
Suppose that the 6 month and 12 month continuously compounded LIBOR rates are 5% and 6% respectively. A bond that has a time to maturity
Suppose that the 6 month and 12 month continuously compounded LIBOR rates are 5% and 6% respectively. A bond that has a time to maturity of 18 months and pays a coupon of 8% per annum with semi-annual payments has a price of $97 and a face value of $100.
What is the 1.5 year annualized zero rate with continuous compounding?
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ANSWER To calculate the 15 year annualized zero rate with continuous compounding we can use th...
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
