An 18-month zero coupon rate is priced at USD 99.1. The 18-month spot rate is?

Solutions

Expert Solution

Given that,

An 18-month zero coupon rate is priced at $99.1

FV = $100

t = 1.5 years

Let 18 month spot rate be r

=> r = (FV/PV)^(1/t) - 1 = (100/99.1)^(1/1.5) - 1 = 0.60%

So, 18 month spot rate = 0.60%

jeff jeffy answered 1 year ago

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