You have been offered a U.S. Treasury bill. The face value of the bill is $10,000, and the price is $9,925.00. The bill matures in 6 months. Compute the YTM of the bill using both discrete and continuously compounded interest.

 

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1 2 Computing the accrued interest 3 Current date 4 Previous interest payment date 5 Next interest payment date 6 Semi-annual coupon 7 8 Days since last coupon date Days between last coupon 9 date and next coupon date 10 11 Section a. 12 Accrued interest 13 14 Section b. computing the YTM 15 Bond price 16 Accrued interest 17 Invoice price (bond price + accrued) 18 19 22NN2NH2N222 20 21 23 24 25 26 A B TREASURY BOND CALCULATION 27 28 29 30 31 Date 32 33 34 Yield to Maturity 26-Feb-2015 15-Jul-2015 15-Jan-2016 15-Jul-2016 15-Jan-2017 15-Jul-2017 15-Jan-2018 15-Jul-2018 15-Jan-2019 15-Jul-2019 15-Jan-2020 15-Jul-2020 15-Jan-2021 26-Feb-2015 Face Value 15-Jan-2015 Price 15-Jul-2015 42 181 103.79 Bond cash flow D $10,000 $9,925 ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ 1 2 Computing the accrued interest 3 Current date 4 Previous interest payment date 5 Next interest payment date 6 Semi-annual coupon 7 8 Days since last coupon date Days between last coupon 9 date and next coupon date 10 11 Section a. 12 Accrued interest 13 14 Section b. computing the YTM 15 Bond price 16 Accrued interest 17 Invoice price (bond price + accrued) 18 19 22NN2NH2N222 20 21 23 24 25 26 A B TREASURY BOND CALCULATION 27 28 29 30 31 Date 32 33 34 Yield to Maturity 26-Feb-2015 15-Jul-2015 15-Jan-2016 15-Jul-2016 15-Jan-2017 15-Jul-2017 15-Jan-2018 15-Jul-2018 15-Jan-2019 15-Jul-2019 15-Jan-2020 15-Jul-2020 15-Jan-2021 26-Feb-2015 Face Value 15-Jan-2015 Price 15-Jul-2015 42 181 103.79 Bond cash flow D $10,000 $9,925 ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬ ▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬▬

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