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į. What are the 0.5-year and 1-year zero rates (continuously compounding) implied from the table below? Assume coupons are paid semi-annually for coupon bonds. Bond Principal ($) 100 100 100 100 Time to Maturity (yrs) 0.50 1.00 1.50 2.00 Coupon per year ($) 0 4 6 8 Bond price ($) 97.43 98.97 101.62 106.28

į. What are the 0.5-year and 1-year zero rates (continuously compounding) implied from the table below? Assume coupons are paid semi-annually for coupon bonds. Bond Principal ($) 100 100 100 100 Time to Maturity (yrs) 0.50 1.00 1.50 2.00 Coupon per year ($) 0 4 6 8 Bond price ($) 97.43 98.97 101.62 106.28

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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į. ii. What are the 0.5-year and 1-year zero rates (continuously compounding) implied from the table below? Assume coupons are paid semi-annually for coupon bonds. Bond Principal ($) 100 100 100 100 Time to Maturity (yrs) 0.50 1.00 1.50 2.00 Coupon per year ($) 0 4 6 8 Bond price ($) 97.43 98.97 101.62 106.28 Suppose that the 6-month, 12-month, 18-month, and 24-month zero rates are 5.10%, 5.00%, 4.80% and 4.75%, respectively. What is the two-year par yield? Verify the solution is correct by showing the discounted cashflows at the par yield. Round all answers to 4 decimal places.
Transcribed Image Text:į. ii. What are the 0.5-year and 1-year zero rates (continuously compounding) implied from the table below? Assume coupons are paid semi-annually for coupon bonds. Bond Principal ($) 100 100 100 100 Time to Maturity (yrs) 0.50 1.00 1.50 2.00 Coupon per year ($) 0 4 6 8 Bond price ($) 97.43 98.97 101.62 106.28 Suppose that the 6-month, 12-month, 18-month, and 24-month zero rates are 5.10%, 5.00%, 4.80% and 4.75%, respectively. What is the two-year par yield? Verify the solution is correct by showing the discounted cashflows at the par yield. Round all answers to 4 decimal places.
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