Question

UST benchmark bond prices are in Panel G. What are the interpolated yields for the 2- and 3-year benchmark bonds? Assume answers are in percent, i.e., 8.00 is 8.00%.

UST Yield Curve Data Par Value: 100.00 Pmt Frequency 2.00 per year 9-Oct-2019 Trade Date: Settlement Date 10-Oct-2019 Period Maturity Coupon (s.a.) 3.00 Price (% of Par) 99.00% 10-Nov-2019 2 Par Value (%) 100.00 100.00 100.00 100.00 100.00 10-May-2021 10-Nov-2021 5.00 5.00 97.00% 96.60%