1. Compute the price, the yield and the continuously compounded yield for the following Treasury bills. For the 1-year Treasury bill also compute the semi-annually compounded yield.

(a) 4-week with 3.48% discount (December 12, 2005)

(b) 3-month with 4.76% discount (May 8, 2007)

Yield Curve on March 15, 2000

Maturity	Yield	Maturity	Yield	Maturity	Yield
0.25	6.33%	2.75	6.86%	5.25	6.39%
0.50	6.49%	3.00	6.83%	5.50	6.31%
0.75	6.62%	3.25	6.80%	5.75	6.24%
1.00	6.71%	3.50	6.76%	6.00	6.15%
1.25	6.79%	3.75	6.72%	6.25	6.05%
1.50	6.84%	4.00	6.67%	6.50	5.94%
1.75	6.87%	4.25	6.62%	6.75	5.81%
2.00	6.88%	4.50	6.57%	7.00	5.67%
2.25	6.89%	4.75	6.51%	7.25	5.50%
2.50	6.88%	5.00	6.45%	7.50	5.31%

Yields calculated based on data from CRSP (Daily Treasuries).

2.Using the semi-annually compounded yield curve in the above Table, price the following securities:

(a) 5-year zero coupon bond (b) 7-year coupon bond paying 15% semiannually

(c) 2 1/2-year floating rate bond with zero spread and annual payments

Yield Curve on May 15, 2000

Maturity	Yield	Maturity	Yield	Maturity	Yield
0.25	6.33%	2.75	6.86%	5.25	6.39%
0.50	6.49%	3.00	6.83%	5.50	6.31%
0.75	6.62%	3.25	6.80%	5.75	6.24%
1.00	6.71%	3.50	6.76%	6.00	6.15%
1.25	6.79%	3.75	6.72%	6.25	6.05%
1.50	6.84%	4.00	6.67%	6.50	5.94%
1.75	6.87%	4.25	6.62%	6.75	5.81%
2.00	6.88%	4.50	6.57%	7.00	5.67%
2.25	6.89%	4.75	6.51%	7.25	5.50%
2.50	6.88%	5.00	6.45%	7.50	5.31%

Notes: Yields are calculated based on data from CRSP.

3. On May 15, 2000 the semi-annually compounded yield curve was as in the above Table. Calculate the convexity for the following securities: (a) 4-year zero coupon bond (b) 2-year coupon bond paying 3% quarterly