Question
You are building a spot curve using market data. The 6-month US T-Bill is priced at $99.50, the 1-year Treasury Bill is priced at $99.00
You are building a spot curve using market data. The 6-month US T-Bill is priced at $99.50, the 1-year Treasury Bill is priced at $99.00 and a 1.5 year US Treasury 4.0% Coupon Bond is priced at $104 per $100 par and pays semi-annually. Using Bootstrapping, please determine the 1.5-year spot rate.
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Applied International Finance
Authors: Thomas J O'Brien
1st Edition
1606497340, 9781606497340
