Answers Chapter 15 CFA Problems.pdf - CHAPTER 15: THE TERM...

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CHAPTER 15: THE TERM STRUCTURE OF INTEREST RATESCFA PROBLEMS3.a.(1 +f4) = (1+y4)4/ (1+y3)3(1 +f4) = (1.055)4/ (1.05)3(1 +f4) = 1.2388 / 1.1576 = 1.0701f4= 1.0701 – 1 = 0.0701 =7.01%b.The conditions would be those that underlie theexpectations theoryof.
8.Answering this problem set requires splitting time periods into six monthlyperiods, as the Fed’s actions occur six-monthly, rather than yearly Thefollowing table shows the expected short-term interest rate based on theprojections of Fed’s rate cuts, the term premium (which increases at a rate of
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