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QUESTION 1: You observe the following Treasury bills and bond prices available in Saudi Arabia Bond/Bill principal 100 100 100 100 100 Time to

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QUESTION 1: You observe the following Treasury bills and bond prices available in Saudi Arabia Bond/Bill principal 100 100 100 100 100 Time to maturity 0.25 0.50 0.75 1 1.25 Annual coupon 0 0 0 6.2 (Quarterly payments) Bond price 99.2 98.3 97.2 102 6.6 (Quarterly Payments) 102.5 Zero rate 3.213% 3. 429% 3.7866% 4.1395% 4.5297% a) Calculate zero rates for maturities of 3 months, 6 months, 9 months, 12 months and 15 months.

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