Question
http://www.wsj.com/mdc/public/page/2_3020-tstrips.html?mod=topnav_2_3020 http://www.wsj.com/mdc/public/page/2_3020-treasury- 20170501.html?mod=mdc_pastcalendar 1. Consider three Treasuries maturing 5/15/17: an 8.75% coupon bond, a 4.5% coupon note and a zero-coupon STRIP (for the purposes of
http://www.wsj.com/mdc/public/page/2_3020-tstrips.html?mod=topnav_2_3020
http://www.wsj.com/mdc/public/page/2_3020-treasury- 20170501.html?mod=mdc_pastcalendar
1. Consider three Treasuries maturing 5/15/17: an 8.75% coupon bond, a 4.5% coupon note and a zero-coupon STRIP (for the purposes of this homework, use the one of 5/15/18).
Suppose that news of high inflation sent all yields to maturity up 0.25% (e.g. from 3.79% to 4.04%) from 1/17 to 1/22. What would the ask prices (as quoted, so not including accrued interest, and in 32nds) on 1/22 of the three 5/15/17 securities have been?
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