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what is the price of the bond if it is putable at Par one year and two years from now at zero volatility? Maturity (years)
what is the price of the bond if it is putable at Par one year and two years from now at zero volatility?
Maturity (years) | Spot rate (%) | 1-year Forward rate (%) | Cash flow |
1 | 1.25 | 0-years from now 1.25 | $3 |
2 | 1.5019 | 1-year from now 1.75 | $3 |
3 | 1.70491 | 2-years from now 1.908 | $103 |
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Bond Markets Analysis and Strategies
Authors: Frank J.Fabozzi
9th edition
133796779, 978-0133796773
