The 6-month, 12-month. 18-month, and 24-month risk-free zero rates are 4%, 4.5%, 4.75%, and 5% with semiannual

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The 6-month, 12-month. 18-month, and 24-month risk-free zero rates are 4%, 4.5%, 4.75%, and 5% with semiannual compounding.

(a) What are the rates with continuous compounding?

(b) What is the forward rate for the six-month period beginning in 18 months?

(c) What is the two-year par yield?

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Fundamentals Of Futures And Options Markets

ISBN: 9781292422114

9th Global Edition

Authors: John Hull

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Question Posted: Mar 05, 2024 01:00 AM

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The 6-month, 12-month. 18-month, and 24-month risk-free zero rates are 4%, 4.5%, 4.75%, and 5% with semiannual

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a Rates with continuous compounding We can convert the zero rates to continuous rates using the following formula continuousrate ln1 zerorate timeperi...View the full answer

Fundamentals Of Futures And Options Markets

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