Based on the bond information provided in Table 1, calculate the missing zero rates Zo.5, Z...

  

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Based on the bond information provided in Table 1, calculate the missing zero rates Zo.5, Z₁ and Z₁.5. (5 marks) Table 1 Time to Maturity (years) 0.5 1.0 1.5 Coupon Rate (p.a.) 0% 0% 4.00% Face Value $100.00 $100.00 $100.00 Price $98.02 $95.89 $99.36 Annualised Zero Rate Zos Z₁ Z₁5 Note that all zero and forward rates quoted are continuously compounded. Coupons are paid semi-annually. From the pay fixed side, value the swap based on the following information: o Notional Value = $100,000,000; o Time to Maturity = 1.25 years (i.e. - 15 months); o Fixed Rate = 4.00% p.a. and is paid semi-annually; o Floating Rate is the six-month BBSW which was 3.8% p.a. continuous compounding 3 months ago: o The 3-month and 9-month and 15 month BBSW rates are 4%6, 41.96 and 4.2%, respectively. These rates are nominal annual with continuous compounding. (5 marks) Based on the bond information provided in Table 1, calculate the missing zero rates Zo.5, Z₁ and Z₁.5. (5 marks) Table 1 Time to Maturity (years) 0.5 1.0 1.5 Coupon Rate (p.a.) 0% 0% 4.00% Face Value $100.00 $100.00 $100.00 Price $98.02 $95.89 $99.36 Annualised Zero Rate Zos Z₁ Z₁5 Note that all zero and forward rates quoted are continuously compounded. Coupons are paid semi-annually. From the pay fixed side, value the swap based on the following information: o Notional Value = $100,000,000; o Time to Maturity = 1.25 years (i.e. - 15 months); o Fixed Rate = 4.00% p.a. and is paid semi-annually; o Floating Rate is the six-month BBSW which was 3.8% p.a. continuous compounding 3 months ago: o The 3-month and 9-month and 15 month BBSW rates are 4%6, 41.96 and 4.2%, respectively. These rates are nominal annual with continuous compounding. (5 marks)

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Answer 1 Calculation of Zero Rates Zo5 Z1 and Z15 Zero Rate Zo5 198020511 414 Zero Rate Z1 19589111 ... View the full answer