15. (5pts) Bootstrap Given instruments in below table Instrument 6m (182 day) T-Bill 2y Treasury 3y Treasury 5y Treasury 7y Treasury 10y Treasury Semi-annual Market Market coupon rate yield price 0% 0.75% 99.62083% 1.375% 1.40% 99.95086% 2.125% 2.00% 100.36222% 2.5% 2.50% 100% 3% 2.90% 100.62942% 3.25% 3.20% 100.42501% (c) Using discount factor curve from loglinear interpolation, compute the price of a 5 year 1% semi-annual coupon bond and convert the price using Formula 2.2 to semi-annual yield. Do the same with semi- annual coupon rate of 8% to observe the coupon effect on yields. Hint: T (years) 0 0.5 Linear Zero DF rate 1 0.9962083 0.761% Loglinear Zero DF rate 1 0.9962083 0.761% 2 0.9724397 1.402% 0.9724406 1.402% 7.5 0.7987633 3.018% 0.7980435 3.031% 9.5 10 0.7373020 3.234% 0.7366574 3.243% 0.7219367 3.285% 0.7220633 3.283% 15. (5pts) Bootstrap Given instruments in below table Instrument 6m (182 day) T-Bill 2y Treasury 3y Treasury 5y Treasury 7y Treasury 10y Treasury Semi-annual Market Market coupon rate yield price 0% 0.75% 99.62083% 1.375% 1.40% 99.95086% 2.125% 2.00% 100.36222% 2.5% 2.50% 100% 3% 2.90% 100.62942% 3.25% 3.20% 100.42501% (c) Using discount factor curve from loglinear interpolation, compute the price of a 5 year 1% semi-annual coupon bond and convert the price using Formula 2.2 to semi-annual yield. Do the same with semi- annual coupon rate of 8% to observe the coupon effect on yields. Hint: T (years) 0 0.5 Linear Zero DF rate 1 0.9962083 0.761% Loglinear Zero DF rate 1 0.9962083 0.761% 2 0.9724397 1.402% 0.9724406 1.402% 7.5 0.7987633 3.018% 0.7980435 3.031% 9.5 10 0.7373020 3.234% 0.7366574 3.243% 0.7219367 3.285% 0.7220633 3.283%