SPOT RATE QUESTION... WHY??
An analyst has obtained the following Treasury data for bonds currently trading at their par values:
Maturity
Coupon
Price
6 months
4%
100
1 year
5%
100
18 months
6%
100
Using the method of bootstrapping, which of the following is closest to the theoretical Treasury spot rate curve?
6month spot rate
1year spot rate
18month spot rate
A) 4.00%
5.0126%
6.2333%
B) 4.00%
5.0126%
6.0407%
C) 2.00%
5.3501%
6.0407%
Your answer: C was incorrect. The correct answer was B) 4.00% 5.0126% 6.0407%
iWHY is the 6 month spot rate 4% and not 2%, since that’s what we use as a spot rate to get the other ones??? Anybody? |
发表于 2013-4-8 16:04
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