Question
You are given the following spot yield curve: time (t) 1 2 3 4 Spot rate S t 0.040 0.035 S 3 S 4 The
You are given the following spot yield curve:
| time (t) | 1 | 2 | 3 | 4 |
| Spot rate St | 0.040 | 0.035 | S3 | S4 |
The present value of a four year annuity due of 100 is 379.05.
The price of a 4 year bond with a maturity value of 2000 and annual coupons of 50 is 1875.12.
Calculate the three year deferred one year forward interest rate.
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Money Talks Explaining How Money Really Works
Authors: Nina Bandelj ,Frederick F. Wherry ,Viviana A. Zelizer
1st Edition
0691202893, 978-0691202891
