Question
The following data was collected for coupon paying Treasury bonds. Based on this information, compute the risk-free rates for the 6month - 10-year horizon, in
The following data was collected for coupon paying Treasury bonds. Based on this information, compute the risk-free rates for the 6month - 10-year horizon, in increments of 6 months (i.e., compute risk-free rates for 6 months, 1-year, 1.5- year, etc.). For simplicity, assume that the price bond is at par i.e. at a face value of $100.
Maturity Coupon Risk-free rate
0.5 2.8316
1.0 3.0339
1.5 3.2055
2.0 3.3504
2.5 3.4724
3.0 3.5747
3.5 3.6604
4.0 3.7323
4.5 3.7928
5.0 3.8441
5.5 3.9265
6.0 3.9607
6.5 3.9920
7.0 4.0215
7.5 4.0499
8.0 4.0780
8.5 4.1063
9.0 4.1350
9.5 4.1644
10.0 4.1947
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