Business, 21.04.2021 01:00 rainboworld3994

1. Constructing a risk-neutral probability binomial short-term interest rate model (40 points) 1a. We observe the following spot rate curve. Assume semiannual compounding and $1000 par value. Calculate the prices of 0.5y, 1y, 1.5y, and 2y zero-coupon Treasury bonds. period Years Annualized Spot Rate 1 0.5 6.0000% 2 1 6.1496% 3 1.5 6.2654% 4 2 6.4227%

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