From the data below :
a)
Complete the file to derive the continuous yields of the zero Coupon Treasury strips. Graph the yields to derive the yield curve on 21 January, 2005
U.S. TREASURY STRIP DATA
21 January 2005
| | |
|
| | | | |
|
Current date
| 21-Jan-05
| | | |
|
Price
| Maturity
| Yahoo
yield
| Days to maturity
| Years to maturity
| Continuous
Yields
|
100.17
| 15-Feb-05
| -2.956%
| | |
|
100.15
| 15-Feb-05
| -2.642%
| | |
|
99.57
| 15-May-05
| 1.421%
| | |
|
99.56
| 15-May-05
| 1.457%
| | |
|
98.8
| 15-Aug-05
| 2.188%
| | |
|
98.85
| 15-Aug-05
| 2.087%
| | |
|
98.04
| 15-Nov-05
| 2.481%
| | |
|
98.04
| 15-Nov-05
| 2.477%
| | |
|
97.33
| 15-Feb-06
| 2.572%
| | |
|
97.35
| 15-Feb-06
| 2.554%
| | |
|
97.34
| 15-Feb-06
| 2.563%
| | |
|
96.52
| 15-May-06
| 2.736%
| | |
|
96.57
| 15-May-06
| 2.696%
| | |
|
95.73
| 15-Aug-06
| 2.820%
|
| |
|
各位大侠, 小妹我苦思冥想依然不得要领啊!
别的暂且不论,
作为本息分离债券, 为何每个maturity date 下会有2个price?
各位哥哥姐姐有任何想法可否提点一二? 万分感谢!!
我的一些浅薄认识:
1) price 从高到底, 因为本息分离债券到期都是支付100, 用yield一折现, price就会越来越小.
2) 前面两个price超过100, 因为yield是负数.
3) 日期是每3个月间隔, 也就是说每1/4年支付一次.
4) 怪的是15-Feb-06 又有三个price!...
去问了老师, 他说题目没错..
我真的很有诚意求教的, 请大家帮帮忙! 谢谢!
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