Question: Problem 5 (a) The continuously compounded 6month, 12month, 18month, and 24month zero rates are 5%, 5.25%, 5.35% and 5.5%, respectively. Find the price of a

Problem 5 (a) The continuously compounded 6month, 12month, 18month, and 24month

Problem 5 (a) The continuously compounded 6month, 12month, 18month, and 24month zero rates are 5%, 5.25%, 5.35% and 5.5%, respectively. Find the price of a two year semiannual coupon bond with coupon rate 5% and face value 100. (b) The yield of a semiannual coupon bond with 6% coupon rate and 30 months to maturity is 9%. What are the price, duration and convexity of the bond

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