Question
15. a. The US Treasury yield curve for the first 36 months has the following YTMs (each YTM is measured as an EAR): A 6-month
15.
a. The US Treasury yield curve for the first 36 months has the following YTMs (each YTM is measured as an EAR):
- A 6-month YTM of 2.6%.
- A 1-year YTM of 2.8%.
- An 18-month YTM of 3.1%.
- A 24-month YTM of 3.8%.
- A 30-month YTM of 4.4%.
- A 3-year YTM of 4.8%.
All YTMs come from US Treasury, zero-coupon bonds.
Determine the corresponding no-arbitrage price for a 1-year, 5.5% (coupon rate), semi-annual US Treasury coupon bond with a face value of $1000.
Express your answer in dollars and cents.
b. The US Treasury yield curve for the first 36 months has the following YTMs (each YTM is measured as an EAR):
- A 6-month YTM of 2.7%.
- A 12-month YTM of 2.9%.
- An 18-month YTM of 3.1%.
- A 24-month YTM of 3.3%.
- A 30-month YTM of 3.6%.
- A 3-year YTM of 4%.
All YTMs come from US Treasury, zero-coupon bonds.
Determine the corresponding no-arbitrage price for a 18-month, 3.7% (coupon rate), semi-annual US Treasury coupon bond with a face value of $1000.
Express your answer in dollars and cents.
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Short Term Financial Management
Authors: Terry S. Maness, John T. Zietlow
3rd Edition
0324202938, 978-0324202939
