MATH 534 Midterm: MATH 537 UMass Amherst midtermS17soln
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Instructions: show all your work for full credit, and box your answers when appropriate. The rst is worth 14 points, the second and third are worth 20 points each, and the fourth and fth are worth 23 points each for a total of 100 points. Unless otherwise noted, all risk free rates are per annum with continuous compounding: let rt1,t2 denote the forward rate from (year) t1 to t2, . Today is time 0 and today"s zero rates are as follows: the 3-month rate is 3%, the 5-month rate is 3. 4%, the 8-month rate is 3. 9%, the 12-month rate is 3. 4%, the 14-month rate is 3. 5%. Compute (to one hundredth of one-percent precision) the following rates: r 5. If not enough information is available for any of these, indicate what additional information you would need to know to compute the rate. 12 r0,1 = 3. 4% is the given 12-month rate. r 5.
