Question: Exercise 3 (1 mark for each part). The current one-year and two-year libor rates are 1.1% and 1.2%, respectively. (a) What is the price of

Exercise 3 (1 mark for each part). The current one-year and

Exercise 3 (1 mark for each part). The current one-year and two-year libor rates are 1.1% and 1.2%, respectively. (a) What is the price of a ZCB maturing in 2 years? (b) What is the quarterly compounded one-year forward one-year rate

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