I found this question in an old item set and wanted to know if anyone could help explain how to bootstrap the curve in excel. I have my workings in an excel file for anyone that’s interested. But I am mostly struggling with questions a and c in this item set:
You observe the prices for the following four US Treasury bonds:
a. Compute the yield curve (i.e., spot rate curve) for maturities from 6months to 2 years (intervals of 6 months).Note:US Treasuries use semiannual compounding, and coupons are paid every six months.
Now assume that, one year later, the zero coupon yield curve is as
What is the total return (or “holding period return”) over the year on the 2-year coupon bond identified in