Please complete all questions in the assignment. The first three questionsmay be hand-written (although you are welcome to type them). However, thelast question (which features more qualitative answers) must be submit- tedtyped, as a word or pdf document. There will be separate submission links foreach part.

Reminder: this assignment is an individual assessment. Please do not copyfrom your classmates, the textbook, or dodgy things you found on the internet.I prosecute academic misconduct.

1. It is 25 July 2022; you observe two treasury bills

Maturity Price

25 September 202299.7985

25 March 202398.3855

(a) What are appropriate discount factors for 2 months and 8 months?

(b) What are the spot rates, with semi-annual compounding, for 2months and 8 months?

(c) What would be a fair price for a bond, maturing on 25 March 2023,paying a 5% per annum coupon rate, with a semi-annual coupon?

(d) Now suppose that you observed a bond, maturing on 25 Septem-ber 2023, paying a 1% per annum coupon rate (with semi-annualcoupons), trading at a yield to maturity of 2.75%. Use the DMOformula to calculate the bonds price.

(e) What is an appropriate discount factor for 25 September 2023?

(f) Calculate forward rates (with semi-annual compounding) from 25September 2022 to 25 March 2023, and from 25 March 2023 to 25September 2023.