What are the rates with continuous compounding

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What is the 2-year par yield when the zero rates are as in Problem? What is the yield on a 2-year bond that pays a coupon equal to the par yield?

Problem:
The 6-month, 12-month, 18-month, and 24-month zero rates are 4%, 4.5%, 4.75%, and 5%, with semiannual compounding.

(a) What are the rates with continuous compounding?

(b) What is the forward rate for the 6-month period beginning in 18 months?

(c) What is the value of an FRA that promises to pay you 6% (compounded semiannually) on a principal of $1 million for the 6-month period starting in 18 months?

Reference no: EM131235805

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