Question
The table shows a new set of zero coupon bonds: Maturity Price 0.5 99.5 1 98.3 1.5 96.7 Please: (i) Assume the face value is
- The table shows a new set of zero coupon bonds:
| Maturity | Price |
| 0.5 | 99.5 |
| 1 | 98.3 |
| 1.5 | 96.7 |
Please:
(i) Assume the face value is $100, determine spot rates of these three zero coupon bonds on the table. (9)
(ii) If you wish to issue a one-year bond that pays coupons semiannually, what coupon rate will you set so that this bond price equal to face value of $100?
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Machine Learning In Finance From Theory To Practice
Authors: Matthew F Dixon, Igor Halperin, Paul Bilokon
1st Edition
3030410676, 978-3030410674
