Question
Today is January 8, 2021, and the term structure of interest rates prevailing in the Canadian money market on this day is reported in the
Today is January 8, 2021, and the term structure of interest rates prevailing in the Canadian money market on this day is reported in the table below. These rates are expressed in decimals. Term End date Rate 0x3 2021-04-09 0.0050 0x6 2021-07-10 0.0062 0x9 2021-10-09 0.0070 0x12 2022-01-08 0.0078 0x15 2022-04-10 0.0082 0x18 2022-07-10 0.0091 0x21 2022-10-08 0.0101 0x24 2023-01-07 0.0120 A) Based on the rates provided in the above table, calculate the 3x6, 6x9, 9x12, 12x15, 15x18, 18x21, and 21x24 implied by the above term structure of interest rates. Present these rates in a neatly constructed table.
B) Based on the rates provided in the above table, calculate the equivalent 3x6, 6x9, 9x12, 12x15, 15x18, 18x21, and 21x24 using the U.S. money market quoting convention. Present these rates in a neatly constructed table. C) Based on the rates provided in the above table, calculate the equivalent annually compounded 6x12, 9x15, 12x18, 15x21, and 18x24 prevailing in Canada. Present these rates in a neatly constructed table. D) Based on the rates provided in the above table, calculate the equivalent quarterly compounded 6x12, 9x15, 12x18, 15x21, and 18x24 prevailing in Canada. Present these rates in a neatly constructed table.
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