Consider the following treasury spot rate curve Time to maturity Spot Rate 3.000% 4.020% 5.069% 1...
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Consider the following treasury spot rate curve Time to maturity Spot Rate 3.000% 4.020% 5.069% 1 year 2 years 3 years Use a binomial interest rate tree with the following rates to value a three-year, 3% annual-pay option-free Treasury bond with a R100 par value. (3) One-Period Forward Rate in Year 0 3% 1 5.7883% 3.8800% 10.7383% 7.1981% 4.8250% Consider the following treasury spot rate curve Time to maturity Spot Rate 3.000% 4.020% 5.069% 1 year 2 years 3 years Use a binomial interest rate tree with the following rates to value a three-year, 3% annual-pay option-free Treasury bond with a R100 par value. (3) One-Period Forward Rate in Year 0 3% 1 5.7883% 3.8800% 10.7383% 7.1981% 4.8250%
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