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The following tables is an example of market quotes for Treasury Bills and Notes. For the questions below assume that the Treasury Notes pay only
The following tables is an example of market quotes for Treasury Bills and Notes. For the questions below assume that the Treasury Notes pay only one coupon every year.
Maturity Coupon mo
mo
mo
yr yr yr yr yr
Yield
a What are the zerorates for the maturities shown in the table above? Assume all the rates in this exercise are discretely compounded rates.
b What is the implied forward rate for an investment starting in year and lasting for years?
c You are about to enter a Forward Rate Agreement starting in year and lasting for years, for a rate of and a notional of $ What are the cash flows of this agreement?
d What is the present value of the FRA above?
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