The spot rates for three hypothetical zero-coupon bonds (zeros) with maturities of one, two, and three years

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The spot rates for three hypothetical zero-coupon bonds (zeros) with maturities of one, two, and three years are given in the following table.Maturity (7) Spot rates 1 Z1 = 9% 2 Z = 10% 3 23 = 11%Based on your answers to 1 and 2, describe the relationship between the spot rates and the implied one-year forward rates.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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