Problem
The cash prices of six-month and one-year Treasury bills are $97.0 and $94.0. A 15-year Treasury bond that will pay coupons of $4 every six months (i.e., annual coupon of $8, where half the state coupon is paid every six months) currently sells for $102.0. A two-year Treasury bond that will pay coupons of $5 every six months (i.e., annual coupon of $10, where hail the state coupon is paid every six months) currently sells for $105.0. Calculate the 18-month Treasury zero rate (continuous compounding).