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 |
What is the annualized 6-month forward rate, 6 month from now in percentage terms? Please round your answer to 3 decimal places.
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Financial Institutions And Markets
Authors: Jeff Madura
10th International Edition
0538482176, 9780538482172
