2) Suppose the one year spot rate and two year spot rate are both 3%. a)...

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Question

Answer 1

Answer #1

Price of 1 yr ZCB $970.87 PV(3%,1,0,1000,)

Price of 2 yr ZCB $942.60 PV(3%,2,0,1000,)

1 yr forward rate 1 yr from now 3.00%

Price of 1 yr ZCB, 1 yr from now $970.87 PV(3%,1,0,1000,)

Answer 2

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