Suppose the continuously compounded interest rate for 6 months is 2% / year and the continuously...
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Suppose the continuously compounded interest rate for 6 months is 2% / year and the continuously compounded interest rate for 18 months is 4.2%/year. Additionally, there are is a 2-year bond paying 5% semi-annual coupons with a face value of $100 trading for $100.92 and a 2-year bond paying 2% semi-annual coupons with a face value of $50 trading for $47.60. a) If there is a third bond that pays 4% semi-annual coupons with a face value of $100 for 1. year, how much does that bond cost? b) If a fourth bond pays 1.5% annual coupons with a face value of $1000 for 2 years, what is the yield of that bond? c) What is the 2-year semi-annual swap rate? Suppose the continuously compounded interest rate for 6 months is 2% / year and the continuously compounded interest rate for 18 months is 4.2%/year. Additionally, there are is a 2-year bond paying 5% semi-annual coupons with a face value of $100 trading for $100.92 and a 2-year bond paying 2% semi-annual coupons with a face value of $50 trading for $47.60. a) If there is a third bond that pays 4% semi-annual coupons with a face value of $100 for 1. year, how much does that bond cost? b) If a fourth bond pays 1.5% annual coupons with a face value of $1000 for 2 years, what is the yield of that bond? c) What is the 2-year semi-annual swap rate?
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Related Book For
An Introduction to Derivative Securities Financial Markets and Risk Management
ISBN: 978-0393913071
1st edition
Authors: Robert A. Jarrow, Arkadev Chatterjee
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