1. Use the following information to bootstrap the term structure. Identify the spot rates. All bonds...
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1. Use the following information to bootstrap the term structure. Identify the spot rates. All bonds make semi-annual coupon payments and all rates must be expressed as semi-annual APRs. (10 points) Coupon Maturity Bond Price Rate (years) 1 1.0% 0.5 98.00 2 3.0% 1.0 98.00 3 2.0% 1.5 96.00 4 2.0% 2.0 95.00 5 4.0% 2.5 99.00 6-month spot rate Zox0.5 = 1-year spot rate Zox1 = 1.5-year spot rate Zox1.5 = 2-year spot rate Zox2 = 2.5-year spot rate Zox2.5 = 1. Use the following information to bootstrap the term structure. Identify the spot rates. All bonds make semi-annual coupon payments and all rates must be expressed as semi-annual APRs. (10 points) Coupon Maturity Bond Price Rate (years) 1 1.0% 0.5 98.00 2 3.0% 1.0 98.00 3 2.0% 1.5 96.00 4 2.0% 2.0 95.00 5 4.0% 2.5 99.00 6-month spot rate Zox0.5 = 1-year spot rate Zox1 = 1.5-year spot rate Zox1.5 = 2-year spot rate Zox2 = 2.5-year spot rate Zox2.5 =
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