Question
You observe the following YTMs on Treasury securities. The six-month and one-year securities are T-bills. The last security is a T-note with a coupon rate
You observe the following YTMs on Treasury securities. The six-month and one-year securities are T-bills. The last security is a T-note with a coupon rate equal to YTM. Assume that these securities pay semi-annual coupons and that YTMs are semiannual bond-equivalent yields. The par value is $100.
| Years | YTM |
| 0.5 | 5.09% |
| 1 | 5.41% |
| 1.5 | 5.70% |
Bootstrap the spot rate for 1.5 yrs?
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Green And Sustainable Finance
Authors: Simon Thompson
2nd Edition
1398609242, 978-1398609242
