Question
The six-month and one-year zero rates are both 5% per annum. For a bond that has a life of 18 months and pays a coupon
The six-month and one-year zero rates are both 5% per annum. For a bond that has a life of 18 months and pays a coupon of 4% per annum (with semiannual payments and one having just been made), the bond price is 98.29. use bootstrapping method to calculate the 18-month zero rate?
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Cost Benefit Analysis
Authors: Harry F. Campbell, Richard P.C. Brown
3rd Edition
1032320753, 9781032320755
