Question
The following are the 1 year forward rates over the next three years: Period Rate (%) 0y1y 2.23 1y1y 3.41 2y1y 4.29 Find the price
The following are the 1 year forward rates over the next three years:
| Period | Rate (%) |
| 0y1y | 2.23 |
| 1y1y | 3.41 |
| 2y1y | 4.29 |
Find the price of a default-free bond with 3 years to maturity, annual coupon payments, and 6.68% coupon rate, if the bond has an embedded Bermudan style call option and is callable at par 1 and 2 years from now. Assume no volatility of interest rates.
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The Dark Side Of Valuation
Authors: Aswath Damodaran
3rd Edition
0134854101, 9780134854106
