Question
The continuously compounded six-month zero rate is 7.25% per annum. The price of a one-year bond that provides a coupon of 5.00% per annum semiannually
The continuously compounded six-month zero rate is 7.25% per annum. The price of a one-year bond that provides a coupon of 5.00% per annum semiannually is 93.00. What is the one-year continuously compounded zero rate? (Answer in percent with two decimals. e.g. example 6.25)
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Guide To Finance Theory And Application Portfolio Mathematics
Authors: Professional Risk Managers' International Association (PRMIA)
1st Edition
0071731814
