Consider the following hypothetical spot curve to two years: Use these spot rates to price a 4%
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Consider the following hypothetical spot curve to two years:
Use these spot rates to price a 4% coupon, 2-year notes and answer the following questions.
a. What is the yield to maturity of the note?
b. What is the market-value-weighted yield of a portfolio of zero-coupon bonds with identical cash flows that replicates the 2-year note?
Assume there is no arbitrage.
c. How should the portfolio yield be computed?
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Related Book For 
Introduction To Fixed Income Analytics
ISBN: 9780470572139
2nd Edition
Authors: Steven V. Mann, Frank J. Fabozzi
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