<p class=”cfa-stem”>Using the following US Treasury spot rates, the arbitrage-free value of a two-year $100 par value Treasury bond with a 6% coupon rate, paid semi-annually, is
<p class=”cfa-stem”>Using the following US Treasury spot rates, the arbitrage-free value of a two-year $100 par value Treasury bond with a 6% coupon rate, paid semi-annually, is
closest to:</p>
<table class=”table-style1″ border=”1″>
<thead>
<tr>
<td>Period</td>
<td>Years</td>
<td>Spot Rate (Annualized)</td>
</tr>
</thead>
<tbody>
<tr>
<td>1</td>
<td>0.5</td>
<td>1.60%</td>
</tr>
<tr>
<td>2</td>
<td>1.0</td>
<td>2.20%</td>
</tr>
<tr>
<td>3</td>
<td>1.5</td>
<td>2.70%</td>
</tr>
<tr>
<td>4</td>
<td>2.0</td>
<td>3.10%</td>
</tr>
</tbody>
</table>
- <span class=”sr-only”>A.</span>$99.75.
- <span class=”sr-only”>B.</span>$105.65.
- <span class=”sr-only”>C.</span>$107.03.
Aishwarya chockalingam