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 |
Calculate the 2 year theoretical annualized spot rate in percentage terms. Please round your answer to 3 decimal places.
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Cases In Financial Management
Authors: I.M. Pandey
3rd Edition
0071333428, 978-0071333429
