Calculating Zero Rates Suppose the prices for T-bills/bonds are as follows: Time (years) 0.5 1 1.5...
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Calculating Zero Rates Suppose the prices for T-bills/bonds are as follows: Time (years) 0.5 1 1.5 (8% coupon) 94.84 2 (10% coupon) 97.12 The coupons on the 2 bonds are paid semiannually. Price ($, face value = 100) 94.0 89.0 35 36 1 point What is the 12-month zero rate? (continuously compounded, enter as a %, at least 2 decimal places) Type your answer.... 37 1 point What is the 6-month zero rate? (continuously compounded, enter as a %, at least 2 decimal places) Type your answer.... 38 1 point What is the 18-month zero rate? (continuously compounded, enter as a %, at least 2 decimal places) De Type your answer... 1 point What is the 24-month zero rate? (continuously compounded, enter as a %, at least 2 decimal places) Type your answer. Calculating Zero Rates Suppose the prices for T-bills/bonds are as follows: Time (years) 0.5 1 1.5 (8% coupon) 94.84 2 (10% coupon) 97.12 The coupons on the 2 bonds are paid semiannually. Price ($, face value = 100) 94.0 89.0 35 36 1 point What is the 12-month zero rate? (continuously compounded, enter as a %, at least 2 decimal places) Type your answer.... 37 1 point What is the 6-month zero rate? (continuously compounded, enter as a %, at least 2 decimal places) Type your answer.... 38 1 point What is the 18-month zero rate? (continuously compounded, enter as a %, at least 2 decimal places) De Type your answer... 1 point What is the 24-month zero rate? (continuously compounded, enter as a %, at least 2 decimal places) Type your answer.
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To calculate the zero rates we can use the following formula P F 1 rn where P is the price of the bo... View the full answer
Related Book For
Managerial Accounting Creating Value in a Dynamic Business Environment
ISBN: 978-0078025662
10th edition
Authors: Ronald Hilton, David Platt
Posted Date:
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