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%