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Question 10.16: If B(0, 6) = 0.96 dollars, find B(0, 3) and B(0, 9) such tha...

If B(0, 6) = 0.96 dollars, find B(0, 3) and B(0, 9) such that the initial term structure is flat.

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If the term structure is to be flat, then the yield y(0, 6) = 8.16% applies to
any other maturity, which gives B(0, 3) = 0.9798 dollars and B(0, 9) = 0.9406 dollars.

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