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2. Consider a 5 year Treasury note with coupon rate 4%, face amount 250000, has annual coupons, and spot rates according to the following term
2. Consider a 5 year Treasury note with coupon rate 4%, face amount 250000, has annual coupons, and spot rates according to the following term struc- ture. CR CON t s(t) 1 2.13 2 2.36 32.72 4 3.12 5 3.43 3 points (a) Complete the STRIPS conversion of this coupon bond, listing the price of each stripped zero coupon bond 2 points (b) What is the book price of this treasury note directly after the second coupon is paid? 2 points (c) What is the market price of this treasury note directly after the second coupon is paid? 2. Consider a 5 year Treasury note with coupon rate 4%, face amount 250000, has annual coupons, and spot rates according to the following term struc- ture. CR CON t s(t) 1 2.13 2 2.36 32.72 4 3.12 5 3.43 3 points (a) Complete the STRIPS conversion of this coupon bond, listing the price of each stripped zero coupon bond 2 points (b) What is the book price of this treasury note directly after the second coupon is paid? 2 points (c) What is the market price of this treasury note directly after the second coupon is paid
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