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

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2) Suppose the one year spot rate and two year spot rate are both 3%. a) What is the price of a two year ZCB? b) What is the

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Answer 1

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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,)

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