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1. Assume the following Treasury yield curve is in existence. Time Time in Coupon in YTM Price Periods Rate Years Implied Theoretical Thecretical Semi- Semi-
1. Assume the following Treasury yield curve is in existence. Time Time in Coupon in YTM Price Periods Rate Years Implied Theoretical Thecretical Semi- Semi- Annual annual Annual Spot Rate forward Spot Rate rate Implied Annual Forward Rates 0.5 1 0.00% 4.50% $97.79951 2.25% 4.50% 2.55022% 5.1004401% 1 2 0.00% 4.80% $95.36743 2.40% 4.80% 4.80000% 6.3514618% Assume that there is a 6-month Treasury bill futures contract in existence. Assume that it is priced to yield 4.9% (BEY). Assume the face value of the contract is $100,000. Based upon the above curve, what should the BEY of the futures contract be? Based on the BEY that you calculated, what should the price of the futures contract be
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