Need detailed calculations for the following:
The current price of a 6-month zero coupon bond with a face value of $100 is 97.92. If a 9-month strip with a face value of $100 is currently trading for 96.62, find the forward interest rate for the 6 to 9 month period.
Solve by both continuous compounding and quarterly compounding for the following:
1. Six-month spot interest rate for quarterly compounding.
2. Nine-month spot interest rate for quarterly compounding.
3. Forward rate (6 to 9 months) for quarterly compounding.
4. Six-month spot interest rate for continuous compounding.
5. Nine-month spot interest rate for continuous compounding.
6. Forward rate (6 to 9 months) for continuous compounding.
7. What is the guaranteed fair price of a 3-month T-Bill to be delivered at 6 months from now, assuming quarterly compounding?
8. What is the guaranteed fair price of a 3-month T-Bill to be delivered at 6 months from now, assume continuous compounding?