On Friday 26th January 2018, the UK government held its weekly auction of government Treasury bills. The table below outlines prices for the one-, three- and six-month bills. Average Discount Maturity Date 26th February 2018 30th April 2018 30th July 2018 Average Price 99.978223 99.940167 99.779994 Calculate the discount rates for the three bills. You must show the price using an appropriate mathematical formulation and take into account the difference between the auction date and settlement date when working out the terms to maturity.
On Friday 26th January 2018, the UK government held its weekly auction of government Treasury bills. The table below outlines prices for the one-, three- and six-month bills. Average Discount Maturity Date 26th February 2018 30th April 2018 30th July 2018 Average Price 99.978223 99.940167 99.779994 Calculate the discount rates for the three bills. You must show the price using an appropriate mathematical formulation and take into account the difference between the auction date and settlement date when working out the terms to maturity.
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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Transcribed Image Text:On Friday 26th January 2018, the UK government held its weekly auction of government
Treasury bills. The table below outlines prices for the one-, three- and six-month bills.
Maturity Date
26th February 2018
30th April 2018
30th July 2018
Average Price
99.978223
99.940167
99.779994
Average Discount
Calculate the discount rates for the three bills. You must show the price using an appropriate
mathematical formulation and take into account the difference between the auction date
and settlement date when working out the terms to maturity.
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