Question: 1. Solve for the missing rates and prices. 1-year 2-year 3-year 4-year t Spot Forward Forward Forward Forward 1 6.0000% s(1,0) 2 6.3000% s(2,0) 6.6008%

1. Solve for the missing rates and prices. 1-year 2-year 3-year 4-year t Spot Forward Forward Forward Forward 1 6.0000% s(1,0) 2 6.3000% s(2,0) 6.6008% f(1,1) 3 6.5000% s(3,0) f(1,2) 6.7509% f(2,1) 4 s(4,0) 7.7051% f(1,3) 7.3024% f(2,2) 7.0680% f(3,1) 5 7.0000% s(5,0) 7.8038% f(1,4) f(2,3) f(3,2) 7.2515% f(4,1) Prices 1-year 2-year 3-year 4-year t Spot Forward Forward Forward Forward 1 S(1,0) 2 88.4980 S(2,0) 93.8079 F(1,1) 3 S(3,0) 93.5444 F(1,2) F(2,1) 4 76.8626 S(4,0) 92.9461 F(1,3) 86.8523 F(2,2) F(3,1) 5 71.2986 S(5,0) F(1,4) 86.1251 F(2,3) 80.5652 F(3,2) F(4,1) Note: Spot rate = s(maturity, start) and forward rate = f(maturity, start). Spot price = S(maturity, start) and forward price = F(maturity, start)

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