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Table 1 contains a term structure of continuously compounded interest rates for US treasury debt, on October 3 1 , 2 0 2 2 .

Table 1 contains a term structure of continuously compounded interest rates for US treasury
debt, on October 31,2022. Table 2 contains treasury bond prices listed in the WSJ on October
31,2022. You will use both tables to (i) price a bond you are interested in, and (ii) assess the
current state of the economy. The following questions will guide you through these objectives.
Table 2: Treasury bond prices in the WSJ on October 31,
2022
Table 1: Term structure of
continuously compounded
rates, on October 31,2022
Remember that US treasury bonds:
Pay coupons semiannually
Use the actual/actual convention for accrued
interest calculations
Use Table 2 to determine the missing value in Table 1- the continuously compounded
rate for cash flows arriving on July 31,2023(remember "today", t, is October 31,2022).
a. Clearly indicate what bond in Table 2 you are using for your calculations (A, B,
C,D, or E
b. For the chosen bond, use the midprice, and determine the dirty (mid)price.
c. From the dirty price and information in Table 1, determine the discount factor,
Z(t,T), where t= October 31,2022 and T= July 31,2023.
d. From the discount factor, extract the continuously compounded rate, r(t,T).
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