Treasury note having exactly three years to maturity

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Reference no: EM131985720

Rob has just purchased a U.S. Treasury note having exactly three years to maturity. The Treasury note makes annual coupon payments (and not semiannual payments) at a coupon rate of 9.5 percent. The annualized yield to maturity for risk-free zero coupon bonds that mature in one year is 2.30 percent. The annualized yield to maturity for risk-free zero coupon bonds that mature in two years is 3.00 percent. Assuming that the annualized yield to maturity for a risk-free zero coupon bond having a face value (principal value) of $1000 and 3 years to maturity is 3.50 percent, determine the

a. annualized forward rate of interest for a 2-year period that begins in one year

b. market price for US Treasury note with three years to maturity and an annual coupon rate of 9.5 percent

c. annualized yield to maturity for a 3-year Treasury note with an annual coupon rate of 9.5 percent

Reference no: EM131985720

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