Given the data and conclusions for z 1 , f 1,1 , and f 2,1 from Example

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Given the data and conclusions for z1, f1,1, and f2,1 from Example 2:21 = 9% f,1 f1,1 = 11.01% 2,1 = 13.03%


Show that the two-year spot rate of z2 = 10% and the three-year spot rate of z3 = 11% are geometric averages of the one-year spot rate and the forward rates.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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