Question
Term Structure: Consider the following Treasury yields a. find the missing spot rates Period Year Yield to Maturity (%) Spot Rate (%) 1 0.5 3.00
Term Structure: Consider the following Treasury yields
a. find the missing spot rates
| Period | Year | Yield to Maturity (%) | Spot Rate (%) |
| 1 | 0.5 | 3.00 |
|
| 2 | 1 | 3.70 |
|
| 3 | 1.5 | 4.30 |
|
| 4 | 2 | 5.20 |
|
b. The implied forward rate from 6 months to one year is closest to:
a. 4.40%
b. 3.98%
c. 3.70%
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Asia Bond Monitor June 2016
Authors: Asian Development Bank
1st Edition
9292574930,9292574949
