Please help solve equation
Sheet1
| t | ct | ct/(1-y*)^t | ct/(1-y*)^t/p | tct/(1-y*)^t/p |
| 1 | 3 | 2.9268292683 | 0.0287282025 | 0.0287282025 |
| 2 | 3 | 2.8554431886 | 0.0280275146 | 0.0560550292 |
| 3 | 3 | 2.7857982328 | 0.0273439167 | 0.0820317501 |
| 4 | 103 | 93.3129164144 | 0.9159100551 | 3.6636402204 |
| D= sum | 3.8304552022 | |||
| 0.8007283618 | 800.7283617689 | |||
| 0.1992716382 | ||||
| 7.9708655292 | ||||
| 139.4901467618 | 940.2185085307 | |||
| Part C | ||||
| Duration of 5-year US Treasury Note (using Po = $979.59) | ||||
| t | ct | ct/(1-y*)^t | [ct/(1-y*)^t]/p | t[ct/(1-y*)^t]/p |
| 1 | 17.5 | 17.4650698603 | 0.0178289589 | 0.0178289589 |
| 2 | 17.5 | 17.4302094414 | 0.0177933722 | 0.0355867443 |
| 3 | 17.5 | 17.3954186042 | 0.0177578565 | 0.0532735694 |
| 4 | 17.5 | 17.3606972098 | 0.0177224116 | 0.0708896465 |
| 5 | 17.5 | 17.3260451195 | 0.0176870376 | 0.0884351878 |
| 6 | 17.5 | 17.2914621951 | 0.0176517341 | 0.1059104045 |
| 7 | 17.5 | 17.2569482985 | 0.0176165011 | 0.1233155076 |
| 8 | 17.5 | 17.222503292 | 0.0175813384 | 0.1406507073 |
| 9 | 17.5 | 17.1881270379 | 0.0175462459 | 0.1579162133 |
| 10 | 1017.5 | 997.3720707753 | 1.0181525646 | 10.1815256462 |
| D | 10.9753325858 | |||
| Duration of 10-year US Treasury Note (using Po = $961.25) | ||||
| t | ct | ct/(1-y*)^t | [ct/(1-y*)^t]/p | t[ct/(1-y*)^t]/p |
| 1 | 18.75 | 18.3598531212 | 0.0190999772 | 0.0190999772 |
| 2 | 18.75 | 17.9778243537 | 0.0187025481 | 0.0374050962 |
| 3 | 18.75 | 17.6037447771 | 0.0183133886 | 0.0549401658 |
| 4 | 18.75 | 17.2374489862 | 0.0179323266 | 0.0717293066 |
| 5 | 18.75 | 16.8787750171 | 0.0175591938 | 0.0877959689 |
| 6 | 18.75 | 16.5275642762 | 0.017193825 | 0.10316295 |
| 7 | 18.75 | 16.18366147 | 0.0168360587 | 0.1178524112 |
| 8 | 18.75 | 15.8469145361 | 0.0164857368 | 0.1318858947 |
| 9 | 18.75 | 15.5171745763 | 0.0161427044 | 0.1452843393 |
| 10 | 18.75 | 15.1942957908 | 0.0158068097 | 0.1580680967 |
| 11 | 18.75 | 14.8781354132 | 0.0154779042 | 0.1702569462 |
| 12 | 18.75 | 14.5685536482 | 0.0151558425 | 0.1818701106 |
| 13 | 18.75 | 14.265413609 | 0.0148404823 | 0.1929262699 |
| 14 | 18.75 | 13.9685812573 | 0.014531684 | 0.2034435762 |
| 15 | 18.75 | 13.6779253438 | 0.0142293112 | 0.2134396673 |
| 16 | 18.75 | 13.3933173501 | 0.01393323 | 0.2229316802 |
| 17 | 18.75 | 13.1146314321 | 0.0136433097 | 0.2319362646 |
| 18 | 18.75 | 12.8417443644 | 0.013359422 | 0.2404695954 |
| 19 | 18.75 | 12.5745354853 | 0.0130814413 | 0.2485473854 |
| 20 | 1018.75 | 669.0001743316 | 0.695968972 | 13.9193794399 |
| D | 16.7524251421 | |||
| Part F | ||||
| Zero-coupon maturity | YTM | T | Value | |
| 0.5 | 0.0325 | 1 | 984.0098400984 | |
| 1 | 0.035 | 2 | 965.8977717946 | |
| 1.5 | 0.0375 | 3 | 945.7952634961 | |
| 2 | 0.039 | 4 | 925.6591097529 |