单选题
The six-month Treasury bill has a yield to maturity of 5 percent. The one-year Treasury bill, with zero coupon, has a yield to maturity of 6 percent. If a Treasury note with a maturity of 1.5 years and a coupon rate of 6 percent is priced at 97.32, what's the implied spot rate of 1.5 years?
【正确答案】
C
【答案解析】 97.32=3/1.025+3/(1.03)2+103/(1+r/2)3
97.32=2.93+2.83+103/(1+r/2)3
91.56=103/(1+r/2)3
(1+r/2)3=1.125 r=0.08 or 8%