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Suppose you observe the following zero-coulon bind prices per $1 of maturity payment: 0.94762 (1-year), 0.88763 (2-year), 0.81718 (3-year). Compute the 2-year continuously compounded zero-coupon
Suppose you observe the following zero-coulon bind prices per $1 of maturity payment: 0.94762 (1-year), 0.88763 (2-year), 0.81718 (3-year). Compute the 2-year continuously compounded zero-coupon bond yield. Answer 5.96%
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Financial Informatics An Information Based Approach To Asset Pricing
Authors: Dorje C Brody, Lane Palmer Hughston, Andrea Macrina
1st Edition
9811246483, 978-9811246487
