Solutions to in-calss exercises_Chapter 1

Solutions to in-calss exercises_Chapter 1 - Solution to...

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Unformatted text preview: Solution to in-class exercise 1 Reference rate Coupon rate First reset date 4.50% 5.10% Second reset date 5.00% 5.50% Third reset date 4.85% 5.45% cap 1 Solution to in-class exercise 2 Reference rate Coupon rate First reset date 3.00% 3.25% Second reset date 2.80% 3.05% Third reset date 2.25% 2.75% floor 2 Solution to in-class exercise 3 (a) A multiple step­up note (b) An inflation­linked bond (c) A deferred coupon bond 3 ...
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Solutions to in-calss exercises_Chapter 1 - Solution to...

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