Consider three different US Treasury securities with maturities T = 1, 2 and 3 years, all with principal of $100. As usual convention, today is time t=0.

One year Treasury bill trades at price 1 = $97.

Two year Treasury note which pays 4% coupon annually, trades at 2 = $100.60

Three year Treasury note which pays 5% coupon 5% annually, trades at 3 = $101.90

(a) Compute zero-coupon bond prices and zero-coupon yields (i.e. zero-rates) of all three maturities, T = 1, 2 and 3 years.