YieldMeasuresSpotRatesandForwardRates幻灯片.pptVIP

3. Solve for the 1-year spot rate. $3.0/(1.025)1 + $103.0/(1+z2/2)2 = $100 where z2 is the annualized 1-year spot rate. Solve for z2/2 as: $103.0/(1+z2/2)2 = $100 - $3/1.025 = $100 - $2.927 = $97.073 or: $103.0/$97.073 = (1+z2/2)2 So: sq. root of ($103.0/$97.073) -1 = z2/2 = 3.0076% 1-yr Spot rate (z2) = 3.0076% times 2 = 6.0152% 4. Use the 6-month and 1-year spot rates and equate the present value of the cash flows of the 1.5 year bond equal to its price, with the 1.5 year spot rate as the unknown. Now that we have the 6-month and 1-year spot rates, this information c