Calculate the expected market yields for a path

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Reference no: EM131878238

Given the following data on debt U.S. Treasury debt instruments:

• 1-year note yield = 4.42% 7-year note yield = 5.64%

• 2-year note yield = 4.69% 8-year note yield = 5.70%

• 3-year note yield = 5.02% 9-year note yield = 5.86%

• 4-year note yield = 5.02% 10-year note yield = 5.95%

• 5-year note yield = 5.35% 11-year note yield = 5.90%

• 6-year note yield = 5.50% 12-year note yield = 5.99%

And constant premiums of 0, .17%, .41%, .63%, .82%, .98%, 1.12%, 1.22%, 1.30%, 1.37%, 1.42%, 1.45%, 1.47%

a. Calculate the expected market yields for a (5,1,2) path.

b. Calculate the expectations yields for a (1,6,1) path.

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

d. Calculate the expected preferred habitat yield for a 4-year note purchased at the beginning of year 5.

e. Calculate the expectations yield on a 5-year note purchased at the beginning of year 3.

f. Determine the expectations yield on a 10-year note purchased today.

g. Determine the yield on a 12-year Treasury note purchased today.

h. Describe the yield curve and provide a general interpretation of what implies about the economy.

Reference no: EM131878238

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