Question
The 1-year, 2-year, 3-year and 4-year zero rates are 2%, 3%, 4% and 5% per annum (APR) with quarterly compounding/payment. a) What are the corresponding
The 1-year, 2-year, 3-year and 4-year zero rates are 2%, 3%, 4% and 5% per annum (APR) with quarterly compounding/payment.
a) What are the corresponding per annum zero rates with continuous compounding?
b) What is todays forward rate for an investment initiated one year from today and maturing 3 years from today? (Give your answer per annum with continuous compounding)?
c) What is todays forward rate for a one-year investment initiated three years from today? (Give your answer per annum with continuous compounding)?
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The Volatility Surface A Practitioner's Guide
Authors: Jim Gatheral
1st Edition
0471792519, 978-0471792512
