Question
The 6-month, 12-month, 18-month, and 24-month zero rates are 2%, 2.5%, 2.75% and 3% respectively with semi-annual compounding. a) Calculate the continuous compounding rates? b)
The 6-month, 12-month, 18-month, and 24-month zero rates are 2%, 2.5%, 2.75% and 3% respectively with semi-annual compounding.
a) Calculate the continuous compounding rates?
b) What is the forward rate for the six-month period beginning in 18 months?
c) What is the value of a forward rate agreement (FRA) that promises to pay you 4% (compounded semi-annually) on a principal of AUD 1 million for the six-month period
starting in 18 months?
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Investments
Authors: Zvi Bodie, Alex Kane, Alan Marcus, Stylianos Perrakis, Peter
8th Canadian Edition
007133887X, 978-0071338875
