Calculate the dirty price and the clean price for a 5


Question: 1. Calculate the dirty price and the clean price for a 5% coupon Treasury that pays interest on 2/15 and 8/15 of each year, matures on 8/15/2018 and settles on 9/20/2015. Show all calculations and include six decimal places.

Assume the following Treasury spot rate curve for this problem.

Date                 Period              Years               Spot Rate

2/15/2016        1                      0.5                   2.0000%

8/15/2016        2                      1.0                   2.0500%

2/15/2017        3                      1.5                   2.1014%

8/15/2017        4                      2.0                   2.2043%

2/15/2018        5                      2.5                   2.2556%

8/15/2018        6                      3.0                   2.3604%

2. A 90-day Treasury bill is quoted at an asked price of 2.5% (discount basis):

a. Calculate the dollar price

b. Calculate the bond equivalent yield

3. The market price of a 4-year 6% coupon non-Treasury issue is $102.4083.

a. Calculate the current yield

b. Calculate the yield to maturity

c. Compute the zero-volatility spread over the Treasury spot rate.

Assume the following Treasury spot rate curve for this problem:

Period                 Years to maturity         Spot Rate

1                                  .5                     2.00%

2                                  1.0                   2.40%

3                                  1.5                   2.80%

4                                  2.0                   3.40%

5                                  2.5                   4.00%

6                                  3.0                   4.20%

7                                  3.5                   4.40%

8                                  4.0                   4.80%

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Finance Basics: Calculate the dirty price and the clean price for a 5
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