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Treasury bond prices Bond Principal ($) Time to Maturity (yrs) Annual Coupon ($)* Bond Price ($) 100 0.5 0.0 98 100 1.0 0.0 95
Treasury bond prices
| Bond Principal ($) | Time to Maturity (yrs) | Annual Coupon ($)* | Bond Price ($) |
| 100 | 0.5 | 0.0 | 98 |
| 100 | 1.0 | 0.0 | 95 |
| 100 | 1.5 | 6.2 | 101 |
| 100 | 2.0 | 8.0 | 102 |
*Half the stated coupon is paid every six months
Calculate the 2-year par yield (use continuous compounding).
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Par yield refers to the yield at which the price of the bond is equal to its face value resulting in ...
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
