Consider a 1-year zero-coupon bond with $1,000 face value. Assume today's 6-monthforward rate is 6% and in six months the new 6-month forward rate can be either 5% or 7%. Assume also that the current price of the 6-month call option with a strike price of $970 on this bond is $2.17. Find the 1-year spot rate today. Keep at least 4 decimal digits.

Answer rating: 100% (QA)

To find the 1year spot rate today we can utilize the fo... View the full answer