Question
You observe the yields of the following Treasury securities (all yields are shown on a bond-equivalent basis): Year (Period) Yield to Maturity (%) Spot Rate
You observe the yields of the following Treasury securities (all yields are shown on a bond-equivalent basis):
| Year (Period) | Yield to Maturity (%) | Spot Rate (%) | Year (Period) | Yield to Maturity (%) | Spot Rate (%) |
| 0.5 (1) | 5.25 | 5.25 | 5.5 (11) | 7.75 | 7.97 |
| 1.0 (2) | 5.50 | 5.50 | 6.0 (12) | 8.00 | 8.27 |
| 1.5 (3) | 5.75 | 5.76 | 6.5 (13) | 8.25 | 8.59 |
| 2.0 (4) | 6.00 | ? | 7.0 (14) | 8.50 | 8.92 |
| 2.5 (5) | 6.25 | ? | 7.5 (15) | 8.75 | 9.25 |
| 3.0 (6) | 6.50 | ? | 8.0 (16) | 9.00 | 9.61 |
| 3.5 (7) | 6.75 | ? | 8.5 (17) | 9.25 | 9.97 |
| 4.0 (8) | 7.00 | ? | 9.0 (18) | 9.50 | 10.36 |
| 4.5 (9) | 7.25 | ? | 9.5 (19) | 9.75 | 10.77 |
| 5.0 (10) | 7.50 | ? | 10.00 (20) | 10.00 | 11.20 |
All the securities maturing from 1.5 years on are selling at par. The 0.5 and 1.0-year securities are zero-coupon instruments. Answer the below questions.
(a) Calculate the missing spot rates in year 2 and 2.5.
(b) What is the six-month forward rate starting in the sixth year?
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The Finance Acts Of 1915 And 1916 An Annotated Reprint Of The Income Tax Provisions Of The New Acts
Authors: Great Britain. Accountant
1st Edition
1177442906, 9781177442909
