What are the forward rates for the periods

Reference no: EM132179328

Question - The following table gives the prices of bonds

Bond Principal ($)	Time to Maturity (years)	Annual Coupon ($)*	Bond Price ($)
100	0.5	0.0	97.50
100	1.0	0.0	95.25
100	1.5	6.2	101.75
100	2.0	8.0	104.00

*Half the stated coupon is paid every six months.

a) Calculate zero rates for maturities of 6 months, 12 months, 18 months, and 24 months.

b) What are the forward rates for the periods: 6 months to 12 months, 12 months to 18 months, 18 months to 24 months?

c) What are the 6-month, 12-month, 18-month, and 24-month par yields for bonds that provide semiannual coupon payments?

d) Estimate the price and yield of a two-year bond providing a semiannual coupon of 7% per annum.

Reference no: EM132179328

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