Two treasury bonds (with semi-annual coupons) are traded. The first bond matures in six months, has coupon rate 4% per annum, and has dirty price $96.42. The second bond matures in twelve months, has coupon rate 11% per annum, and has dirty price $97.79. What is the twelve month spot rate with semi-annual compounding?

ENGR.ECONOMIC ANALYSIS
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Chapter1: Making Economics Decisions
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Two treasury bonds (with semi-annual coupons) are traded. The first bond matures in six months, has coupon rate 4% per annum, and has dirty price $96.42. The second bond matures in twelve months, has coupon rate 11% per annum, and has dirty price $97.79. What is the twelve month spot rate with semi-annual compounding?

   

13.49%

   

13.08%

   

13.94%

   

13.44%

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