Multiple Choice
The 6-months risk-free zero rate is 2.84%, and the one-year zero rate is 3.17%. Assuming no-arbitrage, the yield-to-maturity on a $1,000 par of a one-year, 12% Treasury bond, that pays $60 after 6 months and $1060 after one-year, must be
A) Greater than 0% and less than 2.84%
B) Greater than 2.84% and less than 3.17%
C) Greater than 3.17% and less than 6.01%
D) 6.01%
Correct Answer:
Verified
Correct Answer:
Verified
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