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Calculate the expected empirical yields for a path

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6. Given the following market information on U.S. Treasury instruments:

1-year note yield = 2.22%             4-year note yield = 2.55%

2-year note yield = 2.37%             5-year note yield = 2.69%

3-year note yield = 2.55%             6-year note yield = 2.99%

And non-changing premiums of 0, .07%, .18%, .26%, .31%, .37%, .42%

a. Calculate the expected expectations yield for a (1,4,1,) path.

b. Calculate the expected empirical yields for a (2,3,1) path.

c. Calculate the expected expectations yield for a 5-year note purchased at the beginning of year 2.

d. Calculate the expected market yield on a 4-year note purchased at the beginning of year 2.

e. Determine the expectations yield on a 5-year note purchased today.

f. Determine the yield on a 6-year Treasury note purchased today.

Reference no: EM131516958

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