hard · FRM Part 1 Valuation and Risk Models
A 2-year bond with a face value of 100 pays a 6% annual coupon. The current 1-year spot rate is 4% and the 2-year spot rate is 5% (both annually compounded).
According to the law of one price, what is the arbitrage-free price of the bond?
- 100.00
- 101.91
- 101.86
- 102.85
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