1) If the 6-month zero rate is 0.20% and the 12-month zero rate is 0.30%, then what does the market expect the 6-month zero rate to be in 6 months?

International Financial Management
14th Edition
ISBN:9780357130698
Author:Madura
Publisher:Madura
Chapter9: Forecasting Exchange Rates
Section: Chapter Questions
Problem 6BIC
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1) If the 6-month zero rate is 0.20% and the
12-month zero rate is 0.30%, then what does
the market expect the 6-month zero rate to
be in 6 months?
2) If the 6-month par rate is 0.20% and the 12-
month par rate is 0.30%, then what is the 12-
month zero rate?
3) If the 48-month zero rate is 3.00%, then
what is the present value of a 100 USD cash
flow that arrives in 48 months? Report a
positive number.
4)
What is the yield-to-maturity of a 4-year,
1000 USD 10% coupon bond that makes
semi-annual coupon payments? The zero
rates are
MonthsPeriodZero Rate
0.20%
0.30%
0.50%
0.80%
1.20%
1.70%
2.30%
3.00%
1
12
18
24
30
36
42
48
3
4
6.
8
Transcribed Image Text:1) If the 6-month zero rate is 0.20% and the 12-month zero rate is 0.30%, then what does the market expect the 6-month zero rate to be in 6 months? 2) If the 6-month par rate is 0.20% and the 12- month par rate is 0.30%, then what is the 12- month zero rate? 3) If the 48-month zero rate is 3.00%, then what is the present value of a 100 USD cash flow that arrives in 48 months? Report a positive number. 4) What is the yield-to-maturity of a 4-year, 1000 USD 10% coupon bond that makes semi-annual coupon payments? The zero rates are MonthsPeriodZero Rate 0.20% 0.30% 0.50% 0.80% 1.20% 1.70% 2.30% 3.00% 1 12 18 24 30 36 42 48 3 4 6. 8
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