3. Use this list of Treasury bond prices as of February 15, 2001 to answer the...
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3. Use this list of Treasury bond prices as of February 15, 2001 to answer the following questions. Coupo n Maturi ty Quote 8s Os 6s 8/15/01 8/15/02 8/15/02 101 91.5 100 10s 2/15/02 ? (a) Derive the 6-month, 1-year and 1.5-year discount factors using the 8s, Os and 6s. (b) What is the arbitrage-free price for the 10s given the discount factors from (a). (c) Compute the 6-month, 1-year and 1.5-year par yields. 3. Use this list of Treasury bond prices as of February 15, 2001 to answer the following questions. Coupo n Maturi ty Quote 8s Os 6s 8/15/01 8/15/02 8/15/02 101 91.5 100 10s 2/15/02 ? (a) Derive the 6-month, 1-year and 1.5-year discount factors using the 8s, Os and 6s. (b) What is the arbitrage-free price for the 10s given the discount factors from (a). (c) Compute the 6-month, 1-year and 1.5-year par yields.
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Related Book For
Taxes And Business Strategy A Planning Approach
ISBN: 9780132752671
5th Edition
Authors: Myron Scholes, Mark Wolfson, Merle Erickson, Michelle Hanlon
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