Question
Use the following information to answer questions 2 and 3. Suppose you observe the following partial Treasury spot rate curve: Term Spot Rate 6-month spot
Use the following information to answer questions 2 and 3. Suppose you observe the following partial Treasury spot rate curve: Term Spot Rate 6-month spot rate 2.0% 1-year spot rate 2.2% 18-month spot rate 2.6% 2-year spot rate 3.0% 30-month spot rate 3.2% 3-year spot rate 3.6%
2.) What is the 1-year forward 2 years from today?
3.) What is the 6-month forward rate 30 months from today?
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Derivatives And Internal Models
Authors: H. Deutsch
4th Edition
1349307661, 9781349307661
