The 6-month Treasury Bill has a YTM of 5.25%. The one-year Treasury Bill has a YTM...
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The 6-month Treasury Bill has a YTM of 5.25%. The one-year Treasury Bill has a YTM = 5.5%. Both of these are zero coupon bonds, with the standard convention being used here. Thus, $100 today gets you an IOU from the Gov't of $102.625 due in 6 months. Similarly, $100 today gets you an IOU from the Govt of $105.5756 due in one year. All bonds with maturity greater than one year are coupon bonds which are selling at par. The 1.5 year bond has a YTM = 5.75%. The 2-year bond has a YTM = 6.00%. The 2.5-year bond has a YTM = 6.25%. The 3-year bond has a YTM = 6.50%. 3A) Calculate D01, the price today for a piece of paper that pays $1 one period (= 6 months) from now. Also calculate D02, D03, D04, D05, D06. 3B) Calculate the spot rates 201, 202, 203, 204, 205, 206, and then annualize them to obtain the YTM's of zero-coupon bonds. 3C) Determine the Price of a Treasury bond with face value M = $100, Coupon = 4% and Maturity = 3 years. The 6-month Treasury Bill has a YTM of 5.25%. The one-year Treasury Bill has a YTM = 5.5%. Both of these are zero coupon bonds, with the standard convention being used here. Thus, $100 today gets you an IOU from the Gov't of $102.625 due in 6 months. Similarly, $100 today gets you an IOU from the Govt of $105.5756 due in one year. All bonds with maturity greater than one year are coupon bonds which are selling at par. The 1.5 year bond has a YTM = 5.75%. The 2-year bond has a YTM = 6.00%. The 2.5-year bond has a YTM = 6.25%. The 3-year bond has a YTM = 6.50%. 3A) Calculate D01, the price today for a piece of paper that pays $1 one period (= 6 months) from now. Also calculate D02, D03, D04, D05, D06. 3B) Calculate the spot rates 201, 202, 203, 204, 205, 206, and then annualize them to obtain the YTM's of zero-coupon bonds. 3C) Determine the Price of a Treasury bond with face value M = $100, Coupon = 4% and Maturity = 3 years.
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Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
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