Question
Suppose that you observe the following yields of Treasury securities that are shown based on bond-equivalent basis (annualized rates with semi-annual payments) Year to Maturity
Suppose that you observe the following yields of Treasury securities that are shown based on bond-equivalent basis (annualized rates with semi-annual payments)
| Year to Maturity | Yield to Maturity (%) | Spot Rates (%) |
| 0.5 | 6 | |
| 1.0 | 6 | |
| 1.5 | 5 | |
| 2.0 | 4 | |
| 2.5 | 3 | |
| 3 | 4 |
Using bootstrapping, calculate the 1.5 year theoretical annualized spot rate in percentage terms. Please round your answer to 3 decimal places.
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Essentials Of Real Estate Finance
Authors: David Sirota, Doris Barrell
14th Edition
1475428391, 9781475428391
