A cete expires in 9 months, the clean price of this cete is 9.59961601535939: a) Using the

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A cete expires in 9 months, the clean price of this cete is 9.59961601535939:

O/N1W 2W 1M ЗМ 4M 6M 9M 12M Libor USA 2.2 2.35 2.45 2.6 2.65 2.73 2.79 2.812 2.8234 Libor GBP 1.23 1.32 1.367 1.42 1.44 1.72

a) Using the cete convention, determine the simple rate of return for this cete.

b) By means of a quarterly capitalizable annual rate, determine the yield of this cete.

c) Using a continually capitalizable rate, determine the yield of this cete.

d) Determine the discount factor for this cete.

Posted Date: Sep 17, 2021 04:52 PM

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A cete expires in 9 months, the clean price of this cete is 9.59961601535939: a) Using the

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a The simple rate of return for this cete is 235 b The quarterly capitalizable annual rate for this ... View the full answer

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