Respuesta :
Answer:
Following are the solution to this question:
Explanation:
Assume that [tex]r_1[/tex] will be a 12-month for the spot rate:
[tex]\to 1.25 \% \times \frac{100}{2} \times 0.99 + \frac{(1.25\% \times \frac{100}{2}+100)}{(1+\frac{r_1}{2})^2}=98\\\\\to \frac{1.25}{100} \times \frac{100}{2} \times 0.99 + \frac{(\frac{1.25}{100} \times \frac{100}{2}+100)}{(1+\frac{r_1}{2})^2}=98\\\\\to \frac{1.25}{2} \times 0.99 + \frac{(\frac{1.25}{2} +100)}{(1+\frac{r_1}{2})^2}=98\\\\\to 0.61875 + \frac{( 0.625 +100)}{(\frac{2+r_1}{2})^2}=98\\\\\to 0.61875 + \frac{( 100.625)}{(\frac{2+r_1}{2})^2}=98\\\\\to 0.61875 + \frac{402.5}{(2+r_1)^2}=98\\\\[/tex]
[tex]\to 0.61875 + \frac{402.5}{(2+r_1)^2}=98\\\\\to 0.61875 -98 = \frac{402.5}{(2+r_1)^2}\\\\\to -97.38125= \frac{402.5}{(2+r_1)^2}\\\\\to (2+r_1)^2= \frac{402.5}{ -97.38125}\\\\\to (2+r_1)^2= -4.13\\\\ \to r_1=3.304\%[/tex]
Assume that [tex]r_2[/tex] will be a 18-month for the spot rate:
[tex]\to 1.5\% \times \frac{100}{2} \times 0.99+1.5\% \times \frac{100}{2} \times \frac{1}{(1+ \frac{3.300\%}{2})^2}+\frac{(1.5\% \times \frac{100}{2}+100)}{(1+\frac{r_2}{2})^3}=97\\\\\to \frac{1.5}{100} \times \frac{100}{2} \times 0.99+\frac{1.5}{100} \times \frac{100}{2} \times \frac{1}{(1+ \frac{\frac{3.300}{100}}{2})^2}+\frac{(\frac{1.5}{100} \times \frac{100}{2}+100)}{(1+\frac{r_2}{2})^3}=97\\\\[/tex]
[tex]\to \frac{1.5}{2} \times 0.99+\frac{1.5}{2}\times \frac{1}{(1+ \frac{\frac{3.300}{100}}{2})^2}+\frac{(\frac{1.5}{2} +100)}{(1+\frac{r_2}{2})^3}=97\\\\\to 0.7425+0.75 \times \frac{1}{(1+ \frac{\frac{3.300}{100}}{2})^2}+\frac{(0.75 +100)}{(1+\frac{r_2}{2})^3}=97\\\\\to 1.4925 \times \frac{1}{(1+0.0165)^2}+\frac{(100.75 )}{(1+\frac{r_2}{2})^3}=97\\\\\to 1.4925 \times \frac{1}{(1.033)}+\frac{(100.75 )}{(1+\frac{r_2}{2})^3}=97\\\\[/tex]
[tex]\to 1.4925 \times 0.96+\frac{(100.75 )}{(1+\frac{r_2}{2})^3}=97\\\\\to 1.4328+\frac{(100.75 )}{(1+\frac{r_2}{2})^3}=97\\\\\to 1.4328-97= \frac{(100.75 )}{(1+\frac{r_2}{2})^3}\\\\\to -95.5672= \frac{(100.75 )}{(1+\frac{r_2}{2})^3}\\\\\to (1+\frac{r_2}{2})^3= -1.054\\\\\to r_2=3.577\%[/tex]
Assume that [tex]r_3[/tex] will be a 18-month for the spot rate:
[tex]\to 1.25\% \times \frac{100}{2} \times 0.99+1.25\% \times \frac{100}{2} \times \frac{1}{(1+\frac{3.300\%}{2})^2}+1.25\%\times\frac{100}{2} \times \frac{1}{(1+\frac{3.577\%}{2})^3}+(1.25\% \times \frac{\frac{100}{2}+100}{(1+\frac{r_3}{2})^4})=96\\\\[/tex]
to solve this we get [tex]r_3=3.335\%[/tex]
