Question: Based on the bond information provided in Table 1, calculate the missing zero rate Z1, Z 1.5 and the 6-month forward rates R 0.5,1 and

Based on the bond information provided in Table 1, calculate the missing zero rate Z1, Z1.5 and the 6-month forward rates R0.5,1 and R1.0,1.5

Table 1

Time to Maturity (years) Coupon Rate (p.a.) Face Value Price Annualised Zero Rate 6-month Forward Rates
0.5 0% $100.00 98.51 3.00% -
1.0 0% $100.00 95.56 Z1 4.00%
1.5 6.00% $100.00 103.22 Z1.5 R1.0,1.5

Note that all zero and forward rates quoted are continuously compounded. Coupons are paid semi- annually.

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