1. Calculate the F3,2 forward rate* given the rates shown below:

Tenor	Zero Rate
1	.00125
2	.00675
3	.00875
4	.01125
5	.01320

*That is the 2year rate, starting in 3 years time.

1. A 5-year, annual pay 3% coupon bond is trading at a dollar price of $98.125. What is the bond's approximate yield to maturity?

1. Assume the following term structure. Solve for the 1, 2, and 3 year zero rates.

Tenor	Par Rate	Zero Rate
1	.03
2	.035
3	.03625

Answer rating: 100% (QA)

1 Calculating the F32 forward rate Given the zero rates Tenor Zero Rate 1 000125 2 000675 3 000875 4 ... View the full answer