Question
Two treasury bonds (with semi-annual coupons) are traded. The first bond matures in six months, has coupon rate 7% per annum, and has dirty price
Two treasury bonds (with semi-annual coupons) are traded. The first bond matures in six months, has coupon rate 7% per annum, and has dirty price $99.53. The second bond matures in twelve months, has coupon rate 11% per annum, and has dirty price $101.02. What is the twelve month spot rate with semi-annual compounding?
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The Ultra High Net Worth Bankers Handbook
Authors: Heinrich Weber, Stephan Meier
1st Edition
1905641753, 978-1905641758
