The price of a one-year STRIP is 97.56%, the price of a four-year STRIP is 87.48%....
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The price of a one-year STRIP is 97.56%, the price of a four-year STRIP is 87.48%. Given the following treasury bonds below, calculate the spot rates, forward rates. Put your final answers in the highlighted areas. Show your work in the current worksheet. Assume that bonds pay annual coupons, for simplicity. Hint: Use Bond A and B to replicate the cashflows of a five-year STRIP. Bond A B с Maturity (years) 5 5 3 Coupon 2 3 5 Price (%) 92.89 97.43 105.42 Bond A Bond B Bond C Price 1 2 3 4 5 Year 1 2 3 5 r₁= T₂= r3= Is= F F Year 2 2 3 5 F F F Year 3 2 3 105 ▼ Year 4 2 3 fo,1= f1.2= f2.3= £4.5= F Year 5 102 103 The price of a one-year STRIP is 97.56%, the price of a four-year STRIP is 87.48%. Given the following treasury bonds below, calculate the spot rates, forward rates. Put your final answers in the highlighted areas. Show your work in the current worksheet. Assume that bonds pay annual coupons, for simplicity. Hint: Use Bond A and B to replicate the cashflows of a five-year STRIP. Bond A B с Maturity (years) 5 5 3 Coupon 2 3 5 Price (%) 92.89 97.43 105.42 Bond A Bond B Bond C Price 1 2 3 4 5 Year 1 2 3 5 r₁= T₂= r3= Is= F F Year 2 2 3 5 F F F Year 3 2 3 105 ▼ Year 4 2 3 fo,1= f1.2= f2.3= £4.5= F Year 5 102 103
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