The continuously compounded zero rates are as follows: Maturity (months) 1 Rate (% p.a.) 4.0 Maturity (months)

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The continuously compounded zero rates are as follows:

Maturity (months) 1 Rate (% p.a.) 4.0

Maturity (months) 2 Rate (% p.a.) 4.4

Maturity (months) 3 Rate (% p.a.) 4.9

Maturity (months) 4 Rate (% p.a.) 3.6

The cash price of a $1,000 bond that matures in exactly 3 months is $1,023.55.

What is the annual coupon rate if it pays coupons every month?

Related Book For answer-question

Mathematical Applications For The Management, Life And Social Sciences

ISBN: 9781337625340

12th Edition

Authors: Ronald J. Harshbarger, James J. Reynolds

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Posted Date: Apr 17, 2023 12:24 AM

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The continuously compounded zero rates are as follows: Maturity (months) 1 Rate (% p.a.) 4.0 Maturity (months)

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To calculate the annual coupon rate of the bond we need to first calculate the present value of its ... View the full answer

Mathematical Applications For The Management, Life And Social Sciences

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