Suppose that 6-month, 12-month, and 18-month zero rates are 5%, 5.8% and 6.4% per annum with continuous compounding, respectively. What is the cash price of a Treasury bond with a principal of $1,000 that will mature in 18months and pays coupon rate of 7% per annum semi-annually? *USE AT LEAST 6 DECIMAL PLACES $959.67 $999.78 $1,000.55 $1,007.43
Suppose that 6-month, 12-month, and 18-month zero rates are 5%, 5.8% and 6.4% per annum with continuous compounding, respectively. What is the cash price of a Treasury bond with a principal of $1,000 that will mature in 18months and pays coupon rate of 7% per annum semi-annually? *USE AT LEAST 6 DECIMAL PLACES $959.67 $999.78 $1,000.55 $1,007.43
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 9P
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Suppose that 6-month, 12-month, and 18-month zero rates are 5%, 5.8% and 6.4% per annum with continuous compounding, respectively. What is the cash price of a Treasury bond with a principal of $1,000 that will mature in 18months and pays coupon rate of 7% per annum semi-annually? *USE AT LEAST 6 DECIMAL PLACES
$959.67
$999.78
$1,000.55
$1,007.43
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