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2 2. Suppose you observe the following prices and yields on U.S. treasuries. Maturity (years) Yield Price Coupon rate Par value 0.5 ? $985.22 0%

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2 2. Suppose you observe the following prices and yields on U.S. treasuries. Maturity (years) Yield Price Coupon rate Par value 0.5 ? $985.22 0% $1,000 1 ? $951.81 0% $1,000 ? $1,000 8% $1,000 Fill out the following table using linear interpolation and bootstrapping. (30 points) Maturity (years) Spot rate 0.5 1 1.5 2 2 2. Suppose you observe the following prices and yields on U.S. treasuries. Maturity (years) Yield Price Coupon rate Par value 0.5 ? $985.22 0% $1,000 1 ? $951.81 0% $1,000 ? $1,000 8% $1,000 Fill out the following table using linear interpolation and bootstrapping. (30 points) Maturity (years) Spot rate 0.5 1 1.5 2

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