months. Bond principal 100 100 100 100 Maturity 1Y 2Y 5Y 10Y The bonds pay coupons...
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months. Bond principal 100 100 100 100 Maturity 1Y 2Y 5Y 10Y The bonds pay coupons every six Coupon Bond price 2.50% 3.00% 3.50% 4.50% 101.335 102.941 105.891 115.407 Bootstrap the zero rate R(T) from prices of the bonds with several maturities in Table 1. All bonds pay coupons every six months. Assume that the zero rate R(T) is piece-wise constant on the time inter- vals between the maturities of the bonds shown. For example R(T) has the same value for all time up to 1Y, including this maturity, another value for all times from 1Y to 2Y, including the latter, and so on. months. Bond principal 100 100 100 100 Maturity 1Y 2Y 5Y 10Y The bonds pay coupons every six Coupon Bond price 2.50% 3.00% 3.50% 4.50% 101.335 102.941 105.891 115.407 Bootstrap the zero rate R(T) from prices of the bonds with several maturities in Table 1. All bonds pay coupons every six months. Assume that the zero rate R(T) is piece-wise constant on the time inter- vals between the maturities of the bonds shown. For example R(T) has the same value for all time up to 1Y, including this maturity, another value for all times from 1Y to 2Y, including the latter, and so on.
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