Question: Treasury Zeros a) Compute the interpolated Spot rate curve at 6-month intervals. You Dollar rates for 0.5 Years, 1 year, 1.5 Years, 2 years and

Treasury Zeros a) Compute the interpolated Spot rate curve at 6-month intervals. You Dollar rates for 0.5 Years, 1 year, 1.5 Years, 2 years and so on up to 12 years (; Security Price Use the cubic spline Interpolation Excel add-in from 6-Mth T-Bill 98.8646 http://www.srs1software.com/SRS1CubicSplineForExcel.aspx 12-Mth T-Bill 97.3805 2-Yr T-Note 93.4955 It is free you need not pay if you download just the interpolation add- 3.5-Yr T-Note 86.3278 b) Use the interpolated spot curve to price a 2.5 Year corporate bond 5-Yr T-Note 76.9866 coupon of 10%. The Z-Spread for this bond is 87 BP. 7-Yr T-Note 61.7076 12-Yr T-Bond 33.9872

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