Calculate the forward rate of interest

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Reference no: EM13941710

Suppose you are given the following prices for two U.S. Treasury strips. Maturity date, Price, Yield to maturity: December 2014 41:25 6.83%, December 2015 38:27 6.87%. Assume for simplicity that the maturity dates are exactly 13 and 14 years from now (December). Calculate the forward rate of interest between December 2014 and December 2015.

Reference no: EM13941710

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