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Assume the following list of prices (quoted in ticks) for U.S. Treasury bonds is available on January 15th 2013 and use this information to
Assume the following list of prices (quoted in "ticks") for U.S. Treasury bonds is available on January 15th 2013 and use this information to calculate the corresponding prices (using the decimal system), as well as the discount factors and spot rates for maturities of 6 months, 1 year and 1.5 years. Bond 1, with a coupon of 10%, maturing on July 15th 2013, has a price 102-15. Bond 2, with a coupon of 8%, maturing on January 15th, 2014, has a price of 103-24+. Bond 3, with a coupon of 6%, maturing on July 15th, 2014, has a price of 101-29. Answer: Price (decimal system) Bond 11 1 year 1.5 years Bond 2 Maturity Discount Factor Spot Rate (%) 6 months. Bond 3
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