5. You have the following price data on Treasury Zero Coupon Bonds

Treasury Zeros
Security	Dollar Price
6-Mth T-Bill	98.8646
12-Mth T-Bill	97.3805
2-Yr T-Note	93.4955
3.5-Yr T-Note	86.3278
5-Yr T-Note	76.9866
7-Yr T-Note	61.7076
12-Yr T-Bond	33.9872

a) Compute the interpolated Spot rate curve at 6-month intervals. You must compute the rates for 0.5 Years, 1 year, 1.5 Years, 2 years and so on up to 12 years (24 rates)

Use the cubic spline Interpolation Excel add-in from http://www.srs1software.com/SRS1CubicSplineForExcel.aspx

It is free you need not pay if you download just the interpolation add-in.

b) Use the interpolated spot curve to price a 2.5 Year corporate bond with a semiannual coupon of 10%. The Z-Spread for this bond is 87 BP.