Question
Suppose that the spot rates of interest over a number of horizons (in quarters) with continuous compounding are as follows: Period of investment (in quarters)
Suppose that the spot rates of interest over a number of horizons (in quarters) with continuous compounding are as follows:
| Period of investment (in quarters) | Spot rate (% per annum) |
| 1 | 3.80 |
| 2 | 3.90 |
| 3 | 4.00 |
| 4 | 4.25 |
| 5 | 4.30 |
| 6 | 4.50 |
Calculate the forward rates of interest for the second, third, fourth, fth, and sixth quarters.
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Public Finance In A Changing World
Authors: Peter Birch Sorensen
1998th Edition
0333682211, 978-0333682210
