Question
A zero-coupon Treasury bill maturing in 150 days is trading at $98 per $100 face value. Determine the following rates for the T-bill: Dealers annual
A zero-coupon Treasury bill maturing in 150 days is trading at $98 per $100 face value. Determine the following rates for the T-bill:
Dealers annual discount yield? (use 360-day count convention)
Yield to maturity? (Use an actual 365-day count convention)
Logarithmic return? (use an actual 365-day count convention)
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Financial Risk Manager Handbook
Authors: Philippe Jorion, Global Association Of Risk Professionals
5th Edition
0470479612, 978-0470479612
