You observe the Treasury yield curve below (all yields are shown on a bond equivalent basis): Spot Rate Year 0.5 1.0 Forward Rate 10.00 9.75 9.48 2.0 9.22 8.95 8.68 3.5 Yield to Maturity 10.00% 9.75 9.50 9.25 9.00 8.75 8.50 8.25 8.00 7.75 7.50 7.25 7.00 6.75 5.0 8.41 8.14 7.86 7.58 7.30 7.02 6.74 6.46 6.18 5.90 5.62 6.5 7.0 6.50 8.0 8.5 6.25 6.00 5.75 9.0 5.50 9.5 10.0 5.25 All the securities maturing from 1.5 years on are selling at par. The 0.5 year and one-year securities are zero-coupon instruments. a. Calculate the missing spot rates b. Calculate the missing forward rates c. What should the price of the four year Treasury security be? d. What is the duration and convexity of the four year security? You observe the Treasury yield curve below (all yields are shown on a bond equivalent basis): Spot Rate Year 0.5 1.0 Forward Rate 10.00 9.75 9.48 2.0 9.22 8.95 8.68 3.5 Yield to Maturity 10.00% 9.75 9.50 9.25 9.00 8.75 8.50 8.25 8.00 7.75 7.50 7.25 7.00 6.75 5.0 8.41 8.14 7.86 7.58 7.30 7.02 6.74 6.46 6.18 5.90 5.62 6.5 7.0 6.50 8.0 8.5 6.25 6.00 5.75 9.0 5.50 9.5 10.0 5.25 All the securities maturing from 1.5 years on are selling at par. The 0.5 year and one-year securities are zero-coupon instruments. a. Calculate the missing spot rates b. Calculate the missing forward rates c. What should the price of the four year Treasury security be? d. What is the duration and convexity of the four year security