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Unformatted text preview: 1 year 1.435% 2 year 2.842% 3 year 3.624% 4 year 3.943% 5 year 4.683% Determine the 3-year ahead 2-year forward rate. 3. Calculate the Macaulay duration of a twenty-five year mortgage with level monthly payments, if the nominal interest rate convertible monthly is 12%. Hint: work in time periods of months instead of years....
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This note was uploaded on 10/21/2010 for the course ACTSC 231 taught by Professor Chisholm during the Fall '09 term at Waterloo.
- Fall '09