Non-standard annuity suppose annually compounded zero rates


Non-standard annuity Suppose annually compounded zero rates for all maturities (with 30/360 daycount) are r. An annuity pays n at times n = 1, 2, ... , N.

(a) What is the present value of the annuity?

(b) What is the present value of the infinite annuity as N → ∞?

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Financial Management: Non-standard annuity suppose annually compounded zero rates
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