Problem 4: The prices (per $1000 in face value) of zero-coupon bonds in the U.S. that prevailed
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Question:
Problem 4:
The prices (per $1000 in face value) of zero-coupon bonds in the U.S. that prevailed on 8/31/09 (at the height of the great recession following the financial crisis in 2008) are shown below. Calculate YTM without excel.
Price
Maturity Date (per $1000 in face value) YTM
08/31/10 $996.81
08/31/11 $982.24
08/31/12 $958.01
08/31/13 $927.48
08/31/14 $890.76
08/31/15 $852.27
08/31/16 $813.09
08/31/17 $783.30
08/31/18 $751.84
08/31/19 $716.50
08/31/20 $684.95
Question:
What was the zero yield curve for US Treasuries on 8/31/09? (Keep you answers, as we will use your answers on the next problem set.)
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