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Problem 6.10 You are given the following information about the Treasury market: Term/Maturity (years) coupon rate yield-to-maturity price 96.11 92.10 100.55 101.79 8.1% 8.4% 8.6%
Problem 6.10 You are given the following information about the Treasury market: Term/Maturity (years) coupon rate yield-to-maturity price 96.11 92.10 100.55 101.79 8.1% 8.4% 8.6% 9.0% 0.5 0 1.5 10% Coupons are paid semi-annually and the yield-to-maturity is a nominal annual rate converted semi- annually. Determine the spot rate for the 1.5-year period, expressed as a nominal annual rate compounded semi-annually
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