Problem
Using the data from the par curve below, compute the zero-coupon spot curve rates (BEY). You may use the matrix algebra function that I showed you but you need to be able to understand the algebra behind the calculation as shown in the text. Round % to 4 decimal places.
| Period |
Years |
Par Yield (BEY)
|
Spot Yield (BEY)
|
| 1 |
.5 |
|
2.0000% |
| 2 |
1.0 |
2.10% |
|
| 3 |
1.5 |
2.25% |
|
| 4 |
2.0 |
2.45% |
|
| 5 |
2.5 |
2.60% |
|
| 6 |
3.0 |
2.65% |
|