The Six-Month Zero Rate Is 8% with Semi-Annual Compounding

question 7

Short Answer

The six-month zero rate is 8% with semi-annual compounding. The price of a one-year bond that provides a coupon of 6% per annum semi-annually is 97. What is the one-year continuously compounded zero rate? Answer as a per cent with two decimal places. _ _ _ _ _ _

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Definitions:

Magnitudes

Measures or levels of size, volume, amount, or extent of physical quantities or statistical values, often used in comparisons.

Variance

A statistical measure of the dispersion or spread of data points in a data set, indicating how far each data point in the set is from the mean.

Mean

The arithmetic average of a set of numbers, calculated by adding them together and dividing by the count of numbers.

Aged

Refers to something or someone of advanced age; in statistics, it might relate to data or populations that are considered old or outdated.