How to calculate 6 month zero rate?

[atandon]

Hi David,

I see in one of the practical question, you have converted -> If the price of a zero-coupon six-month Treasury bill is $98.00 then six month zero rate (continuous) will be -

The six-month zero rate = LN(100/98)*2 = 4.0405%.

Could you pls highlight more on the formula. Where can I find it in 2012 study notes?

Thanks,
atandon

 

[atandon]

In few other examples in the same practical sheet, I see the formula different - pasting for your reference. Not sure what's the difference between the two. thanks

159.2. The price of a $100 par zero-coupon bond with four (4) years to maturity is $88.00. The price of a $100 par zero-coupon bond with five (5) years to maturity is $82.00. Under continuous compounding, what is the implied forward rate, r(4.0, 5.0)?
a) 4.06%
b) 5.06%
c) 6.06%
d) 7.06%

r(0,4) = LN(100/88)/4 = 3.20%
r(0,5) = LN(100/82)/5 = 3.97%
r(4,5) = (3.97%*5 - 3.2%*4)/(5-4) = 7.06%

 

[frmhero]

It's just dividing by the the relevant no. of yrs i.e. 4, 5 to get the yearly figure.