Question
The current prices of five U.S. Treasury securities are shown in the following table. Assume all securities have face value 1000, and pay zero coupon.
The current prices of five U.S. Treasury securities are shown in the following table. Assume all securities have face value 1000, and pay zero coupon.
| Time to Maturity | Price |
| 1 year | 917.43 |
| 2 years | 826.44 |
| 3 years | 731.19 |
| 4 years | 635.51 |
| 5 years | 542.76 |
What is the implied 3 year forward rate?
What is the price of a 5-year Treasury note with a coupon rate 13% paid annually?
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Market Liquidity Theory Evidence And Policy
Authors: Thierry Foucault, Marco Pagano, Ailsa Roell
1st Edition
0199936242, 978-0199936243
