The 6-month zero rate is 8% per annum with semi-annual compounding. Currently, a one-year bond with a 10% per annum coupon is trading at 96, with a par value of 100. The coupon is paid semi-annually.

Part I.

Determine the one-year zero rate in terms of semi-annual compounding.

(4 marks)

Part II.

Calculate the forward rate (using semi-annual compounding) from 6-months to 1-year, inferred from today's zero rate curve.

(3 marks)

Part III.

Six months later, immediately following the coupon payment, the market's 6-month zero rate experiences a 50bps (0.5%) decrease. Calculate the fair price of the bond in this scenario. Please provide your calculations.