33. Assuming semiannual coupons. As in the previous question, what if there is no 1.5-year T-Note? i.e. The U.S Treasury Department never auctions T-Notes with a 1.5-year maturity. Auction: 07/16/2020 07/16/2020 07/01/2020 3-month 6-month Maturity: Coupon: 07/14/2020 1-month 0.000% 99.992222 07/16/2020 1-year 0.000% 99.843278 2-year 0.125% 0.000% 0.000% Price: 99.963347 99.926694 99.864327 Use following cash flow timeline to label data appropriately, 0 0.5 Year: 1.0 1.5 2.0 Period t: 0 1 2 3 4 Coupons: Con Spot Rates: ht Cpn1 (1 + h1)^1 Cpn2 (1 + h2)^2 Cpn3 (1 + h4)^3 Cpn4 + Face (1 + h4)^4 Price = Then use the following space to set up the "NPV formula" to calculate h4: 99.864327 = : h4 = 0.0965% z2 = 0.1930% 33. Assuming semiannual coupons. As in the previous question, what if there is no 1.5-year T-Note? i.e. The U.S Treasury Department never auctions T-Notes with a 1.5-year maturity. Auction: 07/16/2020 07/16/2020 07/01/2020 3-month 6-month Maturity: Coupon: 07/14/2020 1-month 0.000% 99.992222 07/16/2020 1-year 0.000% 99.843278 2-year 0.125% 0.000% 0.000% Price: 99.963347 99.926694 99.864327 Use following cash flow timeline to label data appropriately, 0 0.5 Year: 1.0 1.5 2.0 Period t: 0 1 2 3 4 Coupons: Con Spot Rates: ht Cpn1 (1 + h1)^1 Cpn2 (1 + h2)^2 Cpn3 (1 + h4)^3 Cpn4 + Face (1 + h4)^4 Price = Then use the following space to set up the "NPV formula" to calculate h4: 99.864327 = : h4 = 0.0965% z2 = 0.1930%