Question: Based on the information shown below, what is the 18-month continuously compounded annual spot rate? Assume the coupon bond pays interest semiannually. Month 6 Principal

Based on the information shown below, what is the 18-month continuously compounded annual spot rate? Assume the coupon bond pays interest semiannually.

Month 6 Principal 100 Annual Coupon % 0 Price 96

Month 12 Principal 100 Annual Coupon % 0 Price 91

Month 18 Principal 100 Annual Coupon % 5 Price 93

A. 10.14

B. 10.21

C. 9.56

D 9.92

E. 10.08

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