Suppose you observe a 1-year (zero-coupon) Treasury security trading at a yield to maturity of 5% (price of 95.2381% of par). You also observe a 2-year T-Note with a 6% coupon trading at a yield to maturity of 5.5% (price of 100.9232% of par). And, finally, you observe a 3-year T-Note with a 7% coupon trading at a yield to maturity of 6.0% (price of 102.6730). Assume annual coupon payments and discrete compounding. Use the bootstrapping method to determine the 2-year and 3-year spot rates. 2-year spot rate 3-year spot rate
选项：
A:5.51 % 5.92 %
B:5.46 % 5.92 %
C:5.51 % 6.05 %
D:5.46 % 6.05 %
发布时间：2024-06-14 18:36:33
选项： A:The arbitrageur should short the 1-and 2-year zero-coupon bonds and buy the 2-year coupon bond. B:The arbitrageur should buy the 1- and 2-year zero-coupon bonds and short the 2-year coupon bond. C:The arbitrageur should buy the l-year zero-coupon and 2-year coupon bond and short the 2-year zero-coupon bond. D:The arbitrageur should short the l-year zero-coupon and 2-year coupon bond and buy the 2-year zero-coupon bond.
