What is the continuously compounded forward rate, Mathematics

Assignment Help:

At time t an investor shorts a $1 face value zero coupon bond that matures at time T = t

and uses the entire proceeds to purchase a zero coupon bond that matures at time S = T.

(a) In what quantity is the zero coupon bond that matures at time S purchased? Your answer should be expressed in terms of the time t prices P(t;T) and P (t;S).

(b) Explain why these transactions are equivalent to agreeing to lend over the future period [T, S] at a rate that is determined at time t.

Related Discussions:- What is the continuously compounded forward rate

Fact - undetermined coefficients, Here, let's take a look at sums of the fu...

Here, let's take a look at sums of the fundamental components and/or products of the fundamental components. To do this we'll require the following fact. Fact- Undetermined Co

Surface area and volume, a child prepares a poster to save energy on a squa...

a child prepares a poster to save energy on a square sheet whose each side measures 50 cm . At each corner she draws a quadrant of radius 5 cm and the centre of a circle of diamete

Evaluate the volume and surface area of a rectangular solid, Evaluate the v...

Evaluate the volume and surface area of a rectangular solid: Calculate the volume & surface area of a rectangular solid along with a = 3", b = 4", & c = 5". Solution:

Tangents with parametric equations - polar coordinates, Tangents with Param...

Tangents with Parametric Equations In this part we want to find out the tangent lines to the parametric equations given by X= f (t) Y = g (t) To do this let's first r

Making equally sized groups-prerequisites for multiplication, Making Equall...

Making Equally Sized Groups : By the time children reach Class 1 or 2, they would have had many experiences of pairs of objects-pairs of shoes, pairs of eyes, ears, arms, legs, w

Multiplyig, why is multiplying inportent in our lifes

why is multiplying inportent in our lifes

INTEGRATION, FORMULAS DERIVATION

FORMULAS DERIVATION

What is the maximum number calories which consume from fats, Josephine is o...

Josephine is on an 1,800 calorie per day diet. She tries to remain her intake of fat to no more than 30% of her overall calories. Based on an 1,800 calorie a day diet, what is the

Mean value thereoms, application

application

Determine the angle in hexagonal-shaped nut, The figure provided below show...

The figure provided below shows a hexagonal-shaped nut. What is the measure of ∠ABC? a. 120° b. 135° c. 108° d. 144° a. The measure of an angle of a regula

Write Your Message!

Name

Email id

Message

Verfication Code

User Account

All Pages