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Suppose that zero interest rates with continuously compounding are as follows: Maturity (years) Zero rate (% per annum) Forward rate (%) 0.5 4 1.0 4.5
Suppose that zero interest rates with continuously compounding are as follows:
| Maturity (years) | Zero rate (% per annum) | Forward rate (%) |
| 0.5 | 4 | |
| 1.0 | 4.5 | |
| 1.5 | 4.75 | |
| 2.0 | 5 |
Calculate one-year, 1.5-year, and two-year forward rates. Show working
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Glencoe Business And Personal Finance
Authors: McGraw-Hill
1st Edition
0021400202, 9780021400201
