5 year t bill
[DOCX File]PART B: e-Docket Mid-Year Requests
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1-year T-bill = 6%. 2-year T-note = 6.7%. 6.7% = X = 6.7%(2) - 6% = 7.4%.. Expected interest rates Answer: b Diff: E. Using the expectations theory, the rate on 2-year securities is the arithmetic average of 1-year securities now and 1-year securities in one year. 0.067 = (0.063 + X)/2. X = 0.071 = 7.1%.. Expected interest rates Answer: c Diff: E
[DOC File]Quantitative Problems Chapter 5
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6. 1-year T-bill rates are expected to steadily increase by 150 basis points per year over the next 6 years. Determine the required interest rate on a 3-year T-bond and a 6-year T-bond if the current 1-year interest rate is 7.5%. Assume that the Pure Expectations Hypothesis for interest rates holds. Solution: 3 year bond: year 1 interest rate 7.5%
[DOC File]Soln Ch 13 Bond prices
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One year T-bill rates over the next four years are expected to be 3%, 4%, 5% and 5.5%. If four-year T-Bonds are yielding 4.5%, what is the liquidity premium on this bond? Using the approximations in the text book - the expectations theory would give a yield of 17.5%/4 = 4.375% which implies that the liquidity premium is 0.125%.
[DOCX File]Invoice Prices and T-Bill Quotes - Tulane University
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1 year T-note – 3 month T-bill In addition, we obtained data on the S&P 500 return from April 1953 to January 2002 and S&P 500 P/E ratio from January 1968 to January 2002. Finally, we obtained data on United Kingdom and Germany’s monthly yield curve (to be …
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