Yield to Maturity Spot Rate Year you observe the yields of the following Treasury securities (all...

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Yield to Maturity Spot Rate Year you observe the yields of the following Treasury securities (all yields are shown on a bond-equivalent basis): Year Yield to Maturity Spot Rate (Period) (%) (%) (Period) (%) (%) 0.5 (1) 5.25 5.25 5.5 (11) 7.75 7.97 1.0 (2) 5.5 5.5 6.0 (12) 8 8.27 1.5 (3) 5.75 5.76 6.5 (13) 8.25 8.59 2.0 (4) 6 ? 7.0 (14) 8.5 8.92 2.5 (5) 6.25 ? 7.5 (15) 8.75 9.25 3.0 (6) 6.5 ? 8.0 (16) 9 9.61 3.5 (7) 6.75 6.82 8.5 (17) 9.25 9.97 4.0 (8) 7 7.1 9.0 (18) 9.5 10.36 4.5 (9) 7.25 7.38 9.5 (19) 9.75 10.77 5.0 (10) 7.5 7.67 10.00 (20) 10 11.2 All the securities maturing from 1.5 years on are selling at par. The 0.5 and 1.0-year securities are zero-coupon instruments. Answer the below questions. a) Calculate the missing spot rates. (0.3 pts per missing rate) b) What should the price of a 6% six-year Treasury security be? (0.8 pts) c) What is the six-month forward rate 6 years from now? (0.8 pts) Yield to Maturity Spot Rate Year you observe the yields of the following Treasury securities (all yields are shown on a bond-equivalent basis): Year Yield to Maturity Spot Rate (Period) (%) (%) (Period) (%) (%) 0.5 (1) 5.25 5.25 5.5 (11) 7.75 7.97 1.0 (2) 5.5 5.5 6.0 (12) 8 8.27 1.5 (3) 5.75 5.76 6.5 (13) 8.25 8.59 2.0 (4) 6 ? 7.0 (14) 8.5 8.92 2.5 (5) 6.25 ? 7.5 (15) 8.75 9.25 3.0 (6) 6.5 ? 8.0 (16) 9 9.61 3.5 (7) 6.75 6.82 8.5 (17) 9.25 9.97 4.0 (8) 7 7.1 9.0 (18) 9.5 10.36 4.5 (9) 7.25 7.38 9.5 (19) 9.75 10.77 5.0 (10) 7.5 7.67 10.00 (20) 10 11.2 All the securities maturing from 1.5 years on are selling at par. The 0.5 and 1.0-year securities are zero-coupon instruments. Answer the below questions. a) Calculate the missing spot rates. (0.3 pts per missing rate) b) What should the price of a 6% six-year Treasury security be? (0.8 pts) c) What is the six-month forward rate 6 years from now? (0.8 pts)