The cash prices of 6month, 1year and 1.5year Treasury bills that do not pay coupons are...
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The cash prices of 6month, 1year and 1.5year 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 2year zero rate. Round to three decimal places. The cash prices of 6month, 1year and 1.5year 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 2year zero rate. Round to three decimal places.
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