1. Shown below are selected annualized spot interest rates, rt, for U.S. Treasury Strips for Monday, January
(in years) rt
(a) Calculate the price of a Strip for each maturity, per $100 of par value.
(b) Calculate the forward rates, ft, for t=2, 3, 4, and 5.
(c) Using the spot rates, calculate the price (per $100 par) of a Treasury note that matures in 5 years and has a coupon rate of 5.5% (assuming annual coupon payments).
(d) Calculate the yield to maturity on the bond in (c) above.
I plan to use the yield function in excel
(e) Calculate the modified duration (MD) of the bond in (c) above.
I plan to use excel's mduration function