Question
The current prices of three U.S. treasury bonds are as follows: Maturity Coupon Rate Price # 1 0% $97.474 # 2 4% $99.639 # 3
The current prices of three U.S. treasury bonds are as follows: Maturity
Coupon Rate
Price
# 1
0%
$97.474
# 2
4%
$99.639
# 3
5%
$101.418
Assume that coupons paid yearly and all bonds have a PAR value of $100.
What are the 1-, 2-and 3-year spot rates? What are the year 1 to 2 and year 1 to 3 forward rates? What is the price of a three-year bond with a 8% annual coupon.
Show all work.
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Essentials Of Investments
Authors: Zvi Bodie, Alex Kane, Alan Marcus
11th Edition
1260288390, 978-1260288391
