Consider the discount factors for the following eight dates 

 

Date	3m	6m	9m	1y	15m	18m	21m	2y
Price	0.9928	0.9849	0.9762	0.9689	0.9580	0.9495	0.9407	0.9325

 

a) What are the annualized, continuously-compounded rates applicable for loans with maturities t₃ = 9m, respectively t₆ = 18m? 

 

b) What is the price of a bond paying semi-annual coupon at the rate of 6.50% maturing in 21 months? Report both the clean and the dirty price. (You can assume here that each month is 30 days.) 

 

c) What is the yield to maturity of this bond? 

 

d) Consider the rate that can be locked in advance to borrow between dates t₂ = 6m and t₄ = 1y, i.e., the forward rate f(0, t₂, t₄). What is the value of f(0, t₂, t₄)? If t6 = 18m, what are f(0, t₂, t₆) and f(0, t₄, t₆)? 

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a To calculate the annualized continuouslycompounded rates for loans with maturities t3 9m and t6 18... View the full answer