Price the some fixed income securities

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Reference no: EM131953902

Use the semi-annually compounded yield curve in the following table to price the some fixed income securities:

Maturity T Yield r2 (0, T)

0.50 6.49%

1 6.71%

1.5 6.84%

2 6.88%

(e) 2-year floating rate bond with zero spread and semiannual payments

(f) 1.5-year floating rate bond with zero spread and annual payments. For this question, assume r1 (−0.5, 0.5) = 6%.

(h) 1.5-year floating rate bond with 40 basis point spread with annual payments. For this question, assume r1 (−0.5, 0.5) = 6%.

Reference no: EM131953902

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