1. Use the February 15, 2021 U.S. Treasury quotes from TreasuryDirect shown below to calculate the spot rate for each date given in the table. Maturity Coupont Price Discount Factor Spot Rate 8/15/21 2/15/22 8/15/22 2/15/23 8/15/23 2/15/24 8/15/24 2/15/25 8/15/25 2/15/26 2.750 101.34375 2.000 101.90625 1.625 102.25 1.375 102.5 2.500 105.90625 2.750 107.6875 2.375 107.4375 2.000 106.6875 2.000 107.1875 1.625 105.65625 tCoupon and spot rate in %/year, price as percent of par.
1. Use the February 15, 2021 U.S. Treasury quotes from TreasuryDirect shown below to calculate the spot rate for each date given in the table. Maturity Coupont Price Discount Factor Spot Rate 8/15/21 2/15/22 8/15/22 2/15/23 8/15/23 2/15/24 8/15/24 2/15/25 8/15/25 2/15/26 2.750 101.34375 2.000 101.90625 1.625 102.25 1.375 102.5 2.500 105.90625 2.750 107.6875 2.375 107.4375 2.000 106.6875 2.000 107.1875 1.625 105.65625 tCoupon and spot rate in %/year, price as percent of par.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Use the February 15, 2021U.S. Treasury quotes from TreasuryDirect shown below to calculate the spot rate for each date given in the table.
Transcribed Image Text:1. Use the February 15, 2021 U.S. Treasury quotes from TreasuryDirect shown below to
calculate the spot rate for each date given in the table.
Maturity Coupon
Price Discount Factor Spot Rate
8/15/21
2/15/22
8/15/22
2/15/23
8/15/23
2/15/24
8/15/24
2/15/25
8/15/25
2/15/26
2.750 101.34375
2.000 101.90625
1.625
102.25
1.375
102.5
2.500 105.90625
2.750
107.6875
2.375
107.4375
2.000
106.6875
2.000
107.1875
1.625 105.65625
tCoupon and spot rate in %/year, price as percent of par.
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