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Posted on Jul 20, 2024

A $1,000 Face Value Treasury bond with 18 months left to maturity has annual coupons of $32 paid semi-annually. The Term Structure of Interest shows

A $1,000 Face Value Treasury bond with 18 months left to maturity has annual coupons of $32 paid semi-annually. The Term Structure of Interest shows that the 6 month YTM is 3.2%, the 12 month YTM is 3.45% and the 18 month YTM is 3.52%.

What is the price of the bond? [Hint: The price of the bond should be the same as the total price of the STRIPS that can be created from it.]

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