Suppose that the current spot interest rate for a term

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The cash futures price of a 3-month zero coupon bond with a face value of $100 for delivery in 9.38 months from now is 96.31 dollars. Suppose that the current spot interest rate for a term of 12.38 months is 15.75 per cent per annum. Assume continuous compounding to answer the following:

1. The forward rate of interest for period 9.38 months to 9.38+3 months.

2. The spot rate of interest for period 0 to 9.38 months.

3. The current fair value of a 9.38-month zero coupon bond with $100 face.

Reference no: EM131087785

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