You are provided with the following data on four securities. For all of them (including the T-bill) the yield is calculated on an A/Act basis.

(Note that the T-bill is a zero coupon bond and it is simply listed as 1 coupon per year as it is required to be input into Excel in this manner.)

Q.1) Calculate the yield to maturity (YTM) for each security using an Excel spreadsheet.

Q.2) Calculate the zero coupon spot rate for each security using the bootstrapping methodology. State also what the relevant discount factor is for each of the four maturities.

Q.3) Calculate the three one-year forward rates (1F2, 2F3, 3F4).

Q.4) Calculate, using your zero spot rates, the three year par coupon rate for a new-issue bond.

Settlement date 01 January 2019 01 January 2019 01 January 2019 01 January 2019 01 January 202001 January 2021 01 January 2022 01 January 2023 Maturity date Annual coupon rate 4.25% 0.00% 2.75% 3.50% 101.50 Security price 98.50 100.85 102.15 Redemption value 100.00 100.00 100.00 100.00 Coupons per year 1 Basis 1 1 Settlement date 01 January 2019 01 January 2019 01 January 2019 01 January 2019 01 January 202001 January 2021 01 January 2022 01 January 2023 Maturity date Annual coupon rate 4.25% 0.00% 2.75% 3.50% 101.50 Security price 98.50 100.85 102.15 Redemption value 100.00 100.00 100.00 100.00 Coupons per year 1 Basis 1 1