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Suppose that the current 1-year spot rate is known to be 5%. Furthermore, the next year's spot rate curve ( s' k ) is also
Suppose that the current 1-year spot rate is known to be 5%. Furthermore, the next year's spot rate curve (s'k) is also predicted, according to expectations dynamics.
s'1 | s'2 | s'3 | s'4 | s'5 |
0.052 | 0.056 | 0.061 | 0.069 | 0.071 |
Determine the time zero discount factors d1, d2, ... , d6.
(Keep your answer in decimal format 4 decimal places, e.g. 0.1234. Do not give in percent format e.g. 12.34%.)
Only key in the value of d4 .
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