Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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the following data calculate the continuously compounded zero rates for all the maturities ward rates for 6months, 12 months, 18 months and 24 months by using boot strap Also calculate the one-year interest rate after 6 months and the 6-month interest rate 18 months. ..
Transcribed Image Text:fward rates for 6months, 12 months, 18 months and 24 months by using boot strap
the following data calculate the continuously compounded zero rates for all the maturities
Also calculate the one-year interest rate after 6 months and the 6-month interest rate
18 months,
GSec
Face
Value
100
100
100
100
100
Time to
maturity
in months
3
6
12
18
24
Annual
coupon
0
0
0
8
12
Bond
price
98.5
96.9
94.0
101.0
101.75
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Step 1: Calculate the Zero Rate for 6 Months (0.5 years)
VIEW Step 2: Calculate the Zero Rate for 12 Months (1 year)
VIEW Step 3: Calculate the Zero Rate for 18 Months (1.5 years)
VIEW Step 4: Calculate the Zero Rate for 24 Months (2 years)
VIEW Step 5: Calculate the 1-Year Interest Rate After 6 Months
VIEW Step 6: Calculate the 6-Month Interest Rate After 18 Months
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