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Suppose you want to provide a quote for a Treasury bond that matures in 2 years and pays semi-annual coupons of 3%. The next coupon payment are in 6,12,16 and 24 months. Assume that prices of US treasury bills and US treasury bonds are given by:
Maturity (years) | Coupon | Cash Price
0.25 | na | $99.46
0.5 | na | $98.82
1.0 | 2.250 | $99.65
1.5| 2.250 | $99.26
2| 2.500| $99.11
a) deduce the spot curve (zero rates) assume spot rates are semi annually compounded
b) compute the price of the required Treasury bond
c) provide the quote with the required convention fixed maturity, all the information given.
edited maturity and coupons (all given info)
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