We know that the 6 month zero bond price is $94.9; the 1 year coupon bond price is $90.0 with semi-annual coupon rate 4%; the
We know that the 6 month zero bond price is $94.9; the 1 year coupon bond price is $90.0 with semi-annual coupon rate 4%; the 1.5 year coupon bond price is $96.0 with semi-annual coupon rate 8%. Note that the face value of the bonds are $100.
What is the annual 1 year zero rate? Please work on a continuous compounding base.
| 10.47% | ||
| 7.84% | ||
| 7.87% | ||
| 14.39% | ||
| 10.57% | ||
| 14.65% | ||
| 8.16% | ||
| 10.31% | ||
| 8.60% |
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Authors: Kirt C. Butler
4th Edition
1405181184, 978-1405181181
