A2-year semi-annual T-Note has been stripped into 4 0-coupon bonds with the following observed market prices. Calculate the 24-month spot rate. Term Price 6monch 97 12 month 18 month 24 month 13.64% 6.82 6.49% 6.60% 3.25%

A2-year semi-annual T-Note has been stripped into 4 0-coupon bonds with the following observed market prices. Calculate the 24-month spot rate. Term Price 6monch 97 12 month 18 month 24 month 13.64% 6.82 6.49% 6.60% 3.25%

ENGR.ECONOMIC ANALYSIS

14th Edition

ISBN:9780190931919

Author:NEWNAN

Publisher:NEWNAN

Chapter1: Making Economics Decisions

Section: Chapter Questions

Problem 1QTC

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Question

A 2-year semi-annual T-Note has been stripped into 4 0-coupon bonds with the following observed market prices.
Calculate the 24-month spot rate.
Term
Price
6 monch 97
12 month sa
18 manth 91
24 manth s8
O 13.64%
6.82%
6.49%
6.60%
3.25%

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