13. You observe the yields of the Treasury securities in the following table (all yields are shown on a bond-equivalent basis). Yield to Maturity (%) 5.25 5.50 5.75 6.00 6.25 6.50 6.75 7.00 7.25 7.50 7.75 8.00 8.25 8.50 8.75 9.00 9.25 9.50 9.75 10.00 Year 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 8.0 8.5 9.0 9.5 10.0 All the securities maturing from 1.5 years on are selling at par. The 0.5- and 1.0-year securities are zero-coupon instruments. a. Calculate the missing spot rates. b. What should the price of a 6% 6-year Treasury security be? c. What is the 6-month forward rate starting in the sixth year? Spot Rate (%) 5.25 5.50 5.76 ? ? ? ? ? ? ? 7.97 8.27 8.59 8.92 9.25 9.61 9.97 10.36 10.77 11.20

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