You have been offered a U.S. Treasury bill. The face value of the bill is $10,000, and the price is $9,925.00. The bill matures in 6 years. Compute the YTM of the bill using both discrete and continuously compounded interest.

A B 1 TREASURY BOND CALCULATION 2 Computing the accrued interest 3 Current date 26-Feb-2015 4 Previous interest payment date 15-Jan-2015 5 Next interest payment date 15-Jul-2015 6 Semi-annual coupon 7 8 Days since last coupon date 42 Days between last coupon 9 date and next coupon date 181 10 139 11 Section a. 12 Accrued interest 13 14 Section b. computing the YTM 15 Bond price 103.79 16 Accrued interest 17 Invoice price (bond price + accrued) 18 Bond cash 19 Date flow 20 26-Feb-2015 21 15-Jul-2015 22 15-Jan-2016 23 15-Jul-2016 24 15-Jan-2017 25 15-Jul-2017 26 15-Jan-2018 27 15-Jul-2018 28 15-Jan-2019 29 15-Jul-2019 30 15-Jan-2020 31 15-Jul-2020 32 15-Jan-2021 33 34 Yield to Maturity A B 1 TREASURY BOND CALCULATION 2 Computing the accrued interest 3 Current date 26-Feb-2015 4 Previous interest payment date 15-Jan-2015 5 Next interest payment date 15-Jul-2015 6 Semi-annual coupon 7 8 Days since last coupon date 42 Days between last coupon 9 date and next coupon date 181 10 139 11 Section a. 12 Accrued interest 13 14 Section b. computing the YTM 15 Bond price 103.79 16 Accrued interest 17 Invoice price (bond price + accrued) 18 Bond cash 19 Date flow 20 26-Feb-2015 21 15-Jul-2015 22 15-Jan-2016 23 15-Jul-2016 24 15-Jan-2017 25 15-Jul-2017 26 15-Jan-2018 27 15-Jul-2018 28 15-Jan-2019 29 15-Jul-2019 30 15-Jan-2020 31 15-Jul-2020 32 15-Jan-2021 33 34 Yield to Maturity