8. You observe the yields of the following Treasury securities (all yields are shown on a bond-equivalent basis):

Year (Period)Yield to Maturity (%)Spot Rate (%)Year (Period)Yield to Maturity (%)Spot Rate (%)

0.5 (1) 5.25 5.25 5.5 (11) 7.75 7.97

1.0 (2) 5.50 5.50 6.0 (12) 8.00 8.27

1.5 (3) 5.75 5.76 6.5 (13) 8.25 8.59

2.0 (4) 6.00 ? 7.0 (14) 8.50 8.92

2.5 (5) 6.25 ? 7.5 (15) 8.75 9.25

3.0 (6) 6.50 ? 8.0 (16) 9.00 9.61

3.5 (7) 6.75 ? 8.5 (17) 9.25 9.97

4.0 (8) 7.00 ? 9.0 (18) 9.50 10.36

4.5 (9) 7.25 ? 9.5 (19) 9.75 10.77

5.0 (10) 7.50 ? 10.00 (20) 10.00 11.20

All the securities maturing from 1.5 years on are selling at par. The 0.5 and 1.0-year securities are zerocoupon instruments. Answer the below questions.

(a) Calculate the missing spot rates. (b) What should the price of a 6% six-year Treasury security be? (c) What is the six-month forward rate starting in the sixth year?