Questions

$1.$ In the accompanying spreadsheet, HW$2$ data.xlsx$,$ continuously$-$compounded Treasury zero$-$coupon

yields for maturities $0\mathrm{.}5$ to $20$ years are provided. Plot the spot curve.

$2.$ Calculate zero$-$coupon bond prices, P$(0,$t$),$ for every maturity. Plot the discount function.

$3.$ Calculate no$-$arbitrage $6-$month zero$-$coupon bond forward prices FO$0($t$,$t $+0\mathrm{.}5).$

$4.$ Calculate no$-$arbitrage $6-$month forward rates, f$0($t$,$t $+0\mathrm{.}5),$ and plot the forward curve in the same

plot as the spot curve. Is the forward curve above or below the spot curve? Explain why.

$5.$ Calculate semiannually$-$compounded par rates for every maturity. Find the continuously$-$compounded

par rates and plot the par curve in the same plot as the spot and forward curves.

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