Assume the current Treasury yield curve shows that the spot rates for 6 months, 12 months, 18 months and 24 months are 2% ,2.25% , 2.5% and 3%, respectively, all quoted as semiannually compounded APRs. What is the price of a $3000 par, 4.5% coupon bond (with semi-annual payments) maturing in 12 months (the next coupon is exactly 6 months from now)? Please use excel to solve.

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Treasury Market

On-the-run securities are the most recently issued securities in the market depth and are therefore traded at some premium. The off-the-run securities are the ones issued just before the most recent ones. The on-the-run securities have a lower yield to the investor than the off-the-run securities.