1.

Suppose 6-month Treasury bills are trading at a YTM of 1%, 12-month T-bills are trading at a YTM of 3%, and 18-month theoretical spot rate is 6%. If 2-year Treasury notes with a coupon rate of 5% are trading at par ($100), then what is the 2-year spot rate?

Round your answer to 4 decimal places. For example if your answer is 3.205%, then please write down 0.0321.

2.

Suppose we have the following spot rate curve from reading the yields on T-bills.

6-month: 1.20%

12-month: 2.05%

What is the implied no-arbitrage 6-month spot rate 6 months from now? Remember how spot rates are defined. Do not put down the effective 6-month discount rate.

Round your answer to 4 decimal places. For example if your answer is 3.205%, then please write down 0.0321.

3.

Consider the following spot rate curve for the next 2 questions:

6-month spot rate: 5%.

12-month spot rate: 11%.

What is the forward rate for a 6-month zero coupon bond issued 6 months from today? Equivalently, the question asks for f11, where 1 time period consists of 6 months. Remember, like spot rates, forward rates are expressed as bond-equivalent yields.

Round your answer to 4 decimal places. For example if your answer is 3.205%, then please write down 0.0321.

4.

Consider the following spot rate curve for the next 2 questions:

6-month spot rate: 5%.

12-month spot rate: 11%.

18-month spot rate: 13%.

What is the forward rate for a 6-month zero coupon bond issued one year from today? Equivalently, the question asks for f12, where 1 time period consists of 6 months. All rates are compounded semi-annually.

Round your answer to 4 decimal places. For example if your answer is 3.205%, then please write down 0.0321.

Hint: Locking in the 18-month rate today should produce the same return as locking in the 12-month rate first, and then investing the proceeds in a 6-month zero coupon bond issued one year from today.