TTilley75031 TTilley75031
  • 02-06-2023
  • Business
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Treasury spot rates (expressed as semiannually pay yields to maturity) are as follows: 6 months 1%, 1 year 1.5%, 1.5 year 2% 2 year: 2.5% and 2.5 year: 3.00%. A 2.5 year, 2.5% Treasury bond is trading at $1,020. What is the arbitrage trade and how much would profit would you earn from doing the trade?

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