I thought when you used bootstrapping to calculate spot yields you calculated continuously compounded yields... In Apr 2005 q4(iii) (revision book 3 - q8) the answers gives annually compounded yields. In the exam would you get the marks either way?
In the exam it would be quoted whether to use compounding on annual basis, quarterly or continuous. One good question is on pricing bond options in April 2009, which uses specific dates to calculate forward rates in the case. Calculations do get tricky at times Hope this helps.
rates In the exam you are usually told what to quote the results as. If not, and you are quoting spot rates, I would be tempted to quote them as continuous rates. But I doubt you would lose marks either way even if the examiner did not indicate a preference.
