关于forward rate 和 bond pricesuppose the forward interest rate in year0 ,year1,year2.year3,are5%,7%,9% and 10% repectively.What is the price of 3-year zero coupon bond with par value of $1000?

来源:学生作业帮助网 编辑:作业帮 时间:2024/11/07 22:46:32

关于forward rate 和 bond pricesuppose the forward interest rate in year0 ,year1,year2.year3,are5%,7%,9% and 10% repectively.What is the price of 3-year zero coupon bond with par value of $1000?
关于forward rate 和 bond price
suppose the forward interest rate in year0 ,year1,year2.year3,are5%,7%,9% and 10% repectively.What is the price of 3-year zero coupon bond with par value of $1000?

关于forward rate 和 bond pricesuppose the forward interest rate in year0 ,year1,year2.year3,are5%,7%,9% and 10% repectively.What is the price of 3-year zero coupon bond with par value of $1000?
f0=r1=5%
(1+r2)^2=(1+r1)(1+f1)
(1+r3)^3=(1+r2)^2 (1+f2)
P(1+r3)^3 = 1000
P=1000/(1.05*1.07*1.09) =816.58