What is the continuously compounded forward rate, Mathematics

Assignment Help:

At time t an investor shorts a $1 face value zero coupon bond that matures at time T = t

and uses the entire proceeds to purchase a zero coupon bond that matures at time S = T.

(a) In what quantity is the zero coupon bond that matures at time S purchased? Your answer should be expressed in terms of the time t prices P(t;T) and P (t;S).

(b) Explain why these transactions are equivalent to agreeing to lend over the future period [T, S] at a rate that is determined at time t.

(c) What is the continuously compounded forward rate f(t;T;S) associated with this loan?

 


Related Discussions:- What is the continuously compounded forward rate

About matrix?, Explain sparse matrix and Dense matrix?

Explain sparse matrix and Dense matrix?

Converting., I need help converting my project fractions into 1

I need help converting my project fractions into 1

Venn Diagram, In a group of 85 people, 33 own a microwave, 28 own a DVD pla...

In a group of 85 people, 33 own a microwave, 28 own a DVD player and 38 own a computer. In addition, 6 people own both a microwave and a DVD player, 9 own both a DVD player and a c

Reason for why limits not existing, Reason for why limits not existing : I...

Reason for why limits not existing : In the previous section we saw two limits that did not.  We saw that did not exist since the function did not settle down to a sing

Integers, hi i would like to ask you what is the answer for [-9]=[=5] grade...

hi i would like to ask you what is the answer for [-9]=[=5] grade 7

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd