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Q7. Today is May 15, 2000 (a) Compute (bootstrap) the discount curve Z(0,T) for T 6 month, 1 year, and 1.5 years from the following data:
. A 6-month zero coupon bond priced at $96.80 (issued 5/15/2000) . A 1-year note with 5.75% coupon priced at $99.56 (issued 5/15/1998) . A 1 5-year note with 7.5% coupon priced at $100.86 (issued 11/15/1991) (b) Once you get the discount curve Z(0, T) you take another look at the data and you find the following 1-year bonds: i. A 1-year note with 8.00% coupon (semi-annual) priced at $101.13 (issued 5/15/1991) ii. A 1-year bond with 13.13% coupon (semi-annual) priced at $106.60 (issued 4/2/1981) Compute the prices for these bonds with the discounts you found. Are the prices the same as what the market says? Is there an arbitrage opportunity? Why?
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toltod stopping akoめwあho.hotat 2(0p3)-P2(005) 96.80-6.9686 10o Pc to, )-0鹗00 x zo.os) +(ro.csp)oooatad 2 0.940千 20.90双

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