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22 March, 16:24

6. A US Treasury bond has a coupon of 5% and will expire in 9 months. a. What is the cash price of the Treasury bond? b. If today is March 5 and the last coupon payment was November 27, what is the quoted price of the Treasury bond? Assume 28 days in February. Spot Zero Rates Maturity (months) Spot Rates % per annum (based upon continuous compounding) 1 10 2 9 3 8 4 7 5 6 6 5 7 4 8 3 9 2

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  1. 22 March, 17:31
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    Explanation:

    a. What is the cash price of the Treasury bond?
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