31 b. Need help finding Z2 part b

31. In our lecture notes, we learned how to derive Spot Rates using the method of Bootstrapping -- starting with 1-year T-bill (with no coupons) to calculate its impled pure 1-year Spot Rate, and then deriving Spot Rates for successive longer and longer maturity Treasurys. The following is a set of Treasury auction results of various maturities. Assuming annual coupons. Auction Date: 07/12/2021 07/26/2021 07/12/2021 Maturity: 1-year 2-year 3-year Coupon: 0.000% 0.125% 0.375% 99.924167 99.824943 99.848134 Source: https://www.treasurydirect.gov/instit/annceresult/press/press_auctionresults.htm. PS: auction result prices are quoted to 6-decimal places. 1-Yr Spot Rate z1 PS: treasury coupons are quoted to 3-decimal places. a) Find the YTM of the 1-yr T-Bill. You may use the boxes below to help in your calculation: Price: n PV PMT FV Input: 1.00 99.92 0.00 -100.00 Output Since 1-yr T-Bill has no coupons, the calculated 1-year YTM = 1-year Spot Rate .. 0.0008 ... thus, 1-yr Spot Rate z1 = 0.0008 2-yr Spot Rate 22 b) Continuing the Bootstrapping process with a Treasury with the next longer maturity [2-year] that will have coupons, draw the timeline of cash flows and fill in their data: t: 2 0 H Con z1 0.1250 0.0008 Cpn Face 0.1250 100.0000 Then set up the NPV pricing of this Treasury in the space below: Price of 2-yr T-Bill [coupons and face discounted by corresponding Spot Rates 99.824943 0.1250 1000.1250 1.0008 0.9989 1001.2516 ? ? ? ? Use the space below to show work for solving the 2-yr Spot Rate 22