Given the below bond prices for bonds of five different maturities and the first three short-term zero-rates
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Question:
Given the below bond prices for bonds of five different maturities and the first three short-term zero-rates for the three non-coupon paying bonds, calculate the remaining zero rates to complete the Zero Curve (use continuous compounding):
maturity years | bond price | coupon | zero rate |
0.5 | 98.55 | 5.84% | |
1 | 96.95 | 6.19% | |
1.5 | 93.50 | 6.72% | |
2 | 93.50 | 4.00 | X% |
2.5 | 91.00 | 4.50 | T% |
Related Book For
Introduction to Financial Accounting
ISBN: 978-0133251036
11th edition
Authors: Charles Horngren, Gary Sundem, John Elliott, Donna Philbrick
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