Question
The table below contains information about the yield curve at times =0t=0 and =1t=1. 1-year spot rate 2-year spot rate 3-year spot rate =0 1,0=1.66%
The table below contains information about the yield curve at times =0t=0 and =1t=1.
| 1-year spot rate | 2-year spot rate | 3-year spot rate | |
|---|---|---|---|
| =0 | 1,0=1.66% | 2,0=2.21% | 3,0=2.72% |
| =1 | 1,1=1.13% | 2,1=1.68% | 3,1=2.19% |
Suppose you buy a three-year maturity zero-coupon bond at time =0t=0 and you sell it at time =1t=1. What is the net return on your trade? Express your answer in percentage points.
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Financial Management For Public Health And Not-for-Profit Organizations
Authors: Steven A. Finkler, Daniel L. Smith, Thad D. Calabrese, Robert M. Purtell
7th Edition
1071835335, 978-1071835333
