Bond	Price (per $100 in face value)	YTM
1-year zero	92	.08695
2-year zero	89	.05999
3-year zero	86	.05155
4-year zero	82	.05086

Use the YTM rate listed above for the following questions. Consider the following situation:

You have $1,000,000 and want to make an investment that you will harvest after one year (at t=1). You are considering only the following two alternative strategies:

Strategy A: Invest only in current (t=0) 2-year zeros and sell them at t=1.

Strategy B: Invest only in current (t=0) 3-year zeros and sell them at t=1.

Both strategies have you liquidate a position in zeros before they mature.

A. If you invest in only 2-year zeros and sell them early, how much money will you have from this investment at t=1?

B. What is the annual return from this strategy given your initial investment of $1,000,000 and your ending value (the answer to A. above)?

C. How does that return (that answer to B. above) compare to the return you would have received if you simply invested your $1,000,000 in 1-year zeros at t=0 and held them to maturity (at t=1)?

D. If instead of the market's expectation at t=0 being exactly correct, the actual annualized yields (on both the 1-year and 2-year zeros at t=1) turn out to be higher than expected by .0025 (or a quarter of a percent), would you have more or less money than you answer to A. above? Calculate the exact amount you would have at t=1 in this scenario.