Question: The 3-year maturity zero rate is 13% per annum expressed in annually compounded terms. A two-year maturity bond with a coupon of 10% per annum

The 3-year maturity zero rate is 13% per annum expressed in annually compounded terms. A two-year maturity bond with a coupon of 10% per annum (coupons for this bond are paid annually), with par value of 100, is currently trading at 97.2. The forward rate over the 3rd year is 15.5% per annum. What is the 1-year maturity zero rate?

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