Question: Use the following information to bootstrap the term structure. Identify the spot rates. All bonds make semiannual coupon payments and all rates must be expressed

Use the following information to bootstrap the term structure. Identify the spot rates. All bonds make semiannual coupon payments and all rates must be expressed as semiannual APRs. (10 points)

Bond Coupon Rate Maturity (years) Price

1 1.0% 0.5 98.00

2 3.0% 1.0 98.00

3 2.0% 1.5 96.00

4 2.0% 2.0 95.00

5 4.0% 2.5 99.00

6month spot rate Z0x0.5 =

1year spot rate Z0x1 =

1.5year spot rate Z0x1.5 =

2year spot rate Z0x2 =

2.5year spot rate Z0x2.5 =

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