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Zero Curves and Mispricing Suppose that you observe the following four bonds trading in the market. Bond C D Coupon 0% 0% Time-to-maturity 0.5 1

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Zero Curves and Mispricing

Suppose that you observe the following four bonds trading in the market.

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Bond C D Coupon 0% 0% Time-to-maturity 0.5 1 1.5 1.5 Price 99.01 97.07 94.23 102.30

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