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The term structure of interest rates is as follows: t (years) r (continuous) 0.25 0.015 0.5 0.02 1 0.025 2 0.023 (a) What is the discount factor at

The term structure of interest rates is as follows:

t (years) r (continuous)
0.25 0.015
0.5 0.02
1 0.025
2 0.023

(a) What is the discount factor at the maturity t = 0.5 years?
(b) What is the zero rate at maturity t = 0.25 years expressed with semi-annual compounding?
(c) What is the forward rate from t = 1 to T = 2 years expresses as a rate of simple interest?
(d) Using a linear interpolation in the continuously compounded zero rate, determine the price of the bond (expressed per 100 notional) that pays a coupon rate of 5.5% with semi-annual coupons and maturity of 2 years.

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The term structure of interest rates is as follows:
t (years)
0.25
0.5
1
2 r (continuous)
0.015
0.02
0.025
0.023 (a) What is the discount factor at the maturity t = 0.5 years? The discount factor...

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