Suppose that the 6-month, 12-month, 18-month, and 24-month zero rates are 1.58 %, 1.88 %, 1.97 %, and 2.21 % respectively. What is the two-year par yield? 

(Hint: Use the equation on p.89)  Report your answer in percentage terms rounded to four decimal places.  For example .123456 should be entered as 12.3456 without the percentage sign.

Answer rating: 100% (QA)

First lets list the given zero rates 6month zero rate 5 158 12month zero rate r12 188 18m... View the full answer