The cash prices of 6-month, 1-year and 1.5-year Treasury bills that do not pay coupons are...
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The cash prices of 6-month, 1-year and 1.5-year Treasury bills that do not pay coupons are $96, $94 and $90 respectively. A 2- year maturity instrument that pays a $5 coupon every six months currently sells for $92.00. The principal of all bonds is $100 and all interest rates are calculated using continuous compounding. Calculate the 2-year zero rate. Round to three decimal places. The cash prices of 6-month, 1-year and 1.5-year Treasury bills that do not pay coupons are $96, $94 and $90 respectively. A 2- year maturity instrument that pays a $5 coupon every six months currently sells for $92.00. The principal of all bonds is $100 and all interest rates are calculated using continuous compounding. Calculate the 2-year zero rate. Round to three decimal places.
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