U.S. Treasury instruments:
Given the following market data on U.S. Treasury instruments:
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·      1-year note yield = 1.83%                      5-year note yield = 2.79%
·      2-year note yield = 1.99%                      6-year note yield = 3.04%
·      3-year note yield = 2.21%                      7-year note yield = 3.58%
·      4-year note yield = 2.42%                      8-year note yield = 4.18%
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And non-changing premiums of 0, .07%, .22%, .39%, .52%, .64%, .75%, 88%, & .98%
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a.     Calculate the expected expectations yield for a (3,2,1,2) path.
b.     Calculate the pure expectations yield for a (1,4,3,) path.
c.     Calculate the expected empirical yields for a (2,5,1) path.
d.     Calculate the expected expectations yield for a 5-year note purchased at the beginning of year 3.
e.     Calculate the expected market yield on a 4-year note purchased at the beginning of year 2.
f.      Determine the expectations yield on a 5-year note purchased today.
g.     Describe the yield curve and provide a general interpretation of what implies about the economy.
Answers
Status NEW
Posted 22 Jun 2017 01:06 AM
My Price 12.00
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