1 answer

Consider a bond that has a current value of 107.62, a coupon of 8% (paid semi-annually), and 2 years to

Question:

Consider a bond that has a current value of 107.62, a coupon of 8% (paid semi-annually), and 2 years to maturity. If the spot rate curve is the following:

Maturity Spot rate
0.5 0.6%
1.0 1.4%
1.5 2.7%
2.0 4%

the arbitrage-free value of the bond is _____________.


Answers

Coupem Rate .. (n) 4小gena annually ON 4 다. 1-04 1 082 3.99十3.94 + 3.84十96-12 D

.

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