Reference no: EM131449367

1) Given the following market data for AA rated corporate bonds:

• 1-year note yield = 4.42% 4-year note yield = 5.64%
• 2-year note yield = 4.69% 5-year note yield = 5.70%
• 3-year note yield = 5.02% 6-year note yield = 5.86%

And constant premiums of 0, .11%, .27%, .39%, .49%, .57%, .62%.

(a) Calculate the expected liquidity premium yields for a (1,3,2) path.

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

(c) Calculate the real world yield for a (3,2) path.

(d) Calculate the expected pure expectations yield for a 3-year note purchased at the beginning of year 3.

(e) Calculate the expected preferred habitat yield on a 4-year note purchased at the beginning of year 2.

(f) Determine the expectations yield on a 6-year note purchased today.