Question
The following table presents todays information regarding several treasury securities. Time to maturity Coupon rate YTM of this bond (also called Par Yield ) 6
The following table presents todays information regarding several treasury securities.
Time to maturity | Coupon rate | YTM of this bond (also called Par Yield) |
6 months | 0% | 2.02% |
1 year | 0% | 2.0305% |
1.5 years | 3% | 2.2% |
2 years | 3.5% | 2.4% |
Please use the information to answer the following three questions (Q1, Q2, & Q3).
Assume coupons are paid semiannually but quoted annually on a bond equivalent basis (b.e.b.), and prices are quoted per $100 face value.
Note: all interest rates are BEYs, i.e., annual rate.
1) What is the 6-month forward rate beginning 1 year from today? Please show the rate in bond equivalent basis (b.e.b.), i.e., annual rate.
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