Exercise 4. Consider the following information about the U.S. Treasury Securities: Maturity (in years) 0,5 Coupon rate 0% Price Yield to Maturity $ 96,15 8,0% 1 0% $ 92,19 8,3% 1,5 2 2,5 8,5% $ 99,45 8,9% 9,0% $ 99,64 9,2% 11,0% $ 103,49 9,4% a) Calculate the theoretical 1.5-year spot rate based on the data outlined in the table. b) Calculate the theoretical 2-year spot rate based on the data outlined in the table. (10 points) (10 points)
Exercise 4. Consider the following information about the U.S. Treasury Securities: Maturity (in years) 0,5 Coupon rate 0% Price Yield to Maturity $ 96,15 8,0% 1 0% $ 92,19 8,3% 1,5 2 2,5 8,5% $ 99,45 8,9% 9,0% $ 99,64 9,2% 11,0% $ 103,49 9,4% a) Calculate the theoretical 1.5-year spot rate based on the data outlined in the table. b) Calculate the theoretical 2-year spot rate based on the data outlined in the table. (10 points) (10 points)
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter4: Bond Valuation
Section: Chapter Questions
Problem 19P
Related questions
Question
![Exercise 4. Consider the following information about the U.S. Treasury Securities:
Maturity (in years)
0,5
Coupon rate
0%
Price
Yield to Maturity
$ 96,15
8,0%
1
0%
$ 92,19
8,3%
1,5
2
2,5
8,5%
$ 99,45
8,9%
9,0%
$ 99,64
9,2%
11,0%
$ 103,49
9,4%
a) Calculate the theoretical 1.5-year spot rate based on the data outlined in the table.
b) Calculate the theoretical 2-year spot rate based on the data outlined in the table.
(10 points)
(10 points)](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F9d08a125-65a1-47f6-b2d5-020e2931494c%2Fe76b0024-28f8-4031-8c46-d6fdf130f353%2Ft127ee7_processed.png&w=3840&q=75)
Transcribed Image Text:Exercise 4. Consider the following information about the U.S. Treasury Securities:
Maturity (in years)
0,5
Coupon rate
0%
Price
Yield to Maturity
$ 96,15
8,0%
1
0%
$ 92,19
8,3%
1,5
2
2,5
8,5%
$ 99,45
8,9%
9,0%
$ 99,64
9,2%
11,0%
$ 103,49
9,4%
a) Calculate the theoretical 1.5-year spot rate based on the data outlined in the table.
b) Calculate the theoretical 2-year spot rate based on the data outlined in the table.
(10 points)
(10 points)
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