Consider the following information about the U.S. Treasury Securities: Maturity (in years) Coupon rate Price Yield to Maturity 0,5 0% $ 96,15 8,0% 1 0% $ 92,19 8,3% 1,5 8,5% $ 99,45 8,9% 2 9,0% $ 99,64 9,2% 2,5 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
Consider the following information about the U.S. Treasury Securities: Maturity (in years) Coupon rate Price Yield to Maturity 0,5 0% $ 96,15 8,0% 1 0% $ 92,19 8,3% 1,5 8,5% $ 99,45 8,9% 2 9,0% $ 99,64 9,2% 2,5 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
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
Related questions
Question
am. 116.
![Consider the following information about the U.S. Treasury Securities:
Maturity (in years)
Coupon rate
Price
Yield to Maturity
0,5
0%
$ 96,15
8,0%
1
0%
$ 92,19
8,3%
1,5
8,5%
$ 99,45
8,9%
2
9,0%
$
99,64
9,2%
2,5
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](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fda1070aa-3afc-4ade-ba8f-5c6db096574a%2F6e214a43-398b-43b1-8273-b6f9a3e11675%2Fpzmj819_processed.png&w=3840&q=75)
Transcribed Image Text:Consider the following information about the U.S. Treasury Securities:
Maturity (in years)
Coupon rate
Price
Yield to Maturity
0,5
0%
$ 96,15
8,0%
1
0%
$ 92,19
8,3%
1,5
8,5%
$ 99,45
8,9%
2
9,0%
$
99,64
9,2%
2,5
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
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