Years Consider the 6-months and 1-year zero Coupon Treasury security in the following Table. Since the securities are zero coupon, the annualized yield for 6-months and 1-year security will be the spot rates. Which are 3% and 3.30% respectively. Period Annual Par yield to Price Spot rate Maturity (BEY)% (BEY)% 1 0.5 3.00 3.0000 2 1.0 3.30 3.3000 3 1.5 3.50 100.00 4 2.0 3.90 100.00 5 2.5 4.40 100.00 6 3.0 4.70 100.00 7 3.5 4.90 100.00 8 4.0 5.00 100.00 9 4.5 5.10 100.00 10 5.0 5.20 100.00 11 5.5 5.30 100.00 12 6.0 5.40 100.00 13 6.5 5.50 100.00 14 7.0 5.55 100.00 15 7.5 5.60 100.00 16 8.0 5.65 100.00 17 8.5 5.70 100.00 18 9.0 5.80 100.00 19 9.5 5.90 100.00 10.0 6.00 100.00 *The yield to maturity and the spot rate are annual rates. They are reported as bond equivalent yields. To obtain the semi-annual yield or rate, one half the annual yield or annual rate is used. olol 20 Required: a) Calculate the Spot rates and fill the last column of the Table. b) Calculate 6-months forward rates (Annualized rates on bond Equivalent basis) and fill the following Table. Notation Forward rate. 1fo 1fi if 1f 1f Years Consider the 6-months and 1-year zero Coupon Treasury security in the following Table. Since the securities are zero coupon, the annualized yield for 6-months and 1-year security will be the spot rates. Which are 3% and 3.30% respectively. Period Annual Par yield to Price Spot rate Maturity (BEY)% (BEY)% 1 0.5 3.00 3.0000 2 1.0 3.30 3.3000 3 1.5 3.50 100.00 4 2.0 3.90 100.00 5 2.5 4.40 100.00 6 3.0 4.70 100.00 7 3.5 4.90 100.00 8 4.0 5.00 100.00 9 4.5 5.10 100.00 10 5.0 5.20 100.00 11 5.5 5.30 100.00 12 6.0 5.40 100.00 13 6.5 5.50 100.00 14 7.0 5.55 100.00 15 7.5 5.60 100.00 16 8.0 5.65 100.00 17 8.5 5.70 100.00 18 9.0 5.80 100.00 19 9.5 5.90 100.00 10.0 6.00 100.00 *The yield to maturity and the spot rate are annual rates. They are reported as bond equivalent yields. To obtain the semi-annual yield or rate, one half the annual yield or annual rate is used. olol 20 Required: a) Calculate the Spot rates and fill the last column of the Table. b) Calculate 6-months forward rates (Annualized rates on bond Equivalent basis) and fill the following Table. Notation Forward rate. 1fo 1fi if 1f 1f