Use Excel to answer this question and show your work. However, vou should include the

answers in the report vou will submit.

Part 1) You observe the following Treasury bills and bond prices available in Saudi Arabia

Bond/Bill principal

100

100

100

100

100

Time to maturity

0.25

0.50

0.75

Annual coupon

0

1.25

0

6.2 (Ouarterly payments)

6.4 (Quarterly Payments)

Bond price

99.15

98.25

97.2

102

102.5

a)

Calculate zero rates for maturities of 3 months, 6 months, 9 months, 12 months and 15 months.

b) Calculate the par yield for the following bonds:

I. A 12-month bond that pays coupons semiannually.

II. A 12-month bond that pays coupons quarterly.