Reference no: EM133114784
Consider the discount factors for the following eight dates
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Date
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3m
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6m
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9m
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1y
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15m
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18m
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21m
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2y
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Price
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0.9928
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0.9849
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0.9762
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0.9689
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0.9580
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0.9495
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0.9407
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0.9325
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a) What are the annualized, continuously-compounded rates applicable for loans with maturities t3 = 9m, respectively t6 = 18m?
b) What is the price of a bond paying semi-annual coupon at the rate of 6.50% maturing in 21 months? Report both the clean and the dirty price. (You can assume here that each month is 30 days.)
c) What is the yield to maturity of this bond?
d) Consider the rate that can be locked in advance to borrow between dates t2 = 6m and t4 = 1y, i.e., the forward rate f(0, t2, t4). What is the value of f(0, t2, t4)? If t6 = 18m, what are f(0, t2, t6) and f(0, t4, t6)?
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: a) What are the annualized, continuously-compounded rates applicable for loans with maturities t3 = 9m, respectively t6 = 18m?
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