Suppose that today the one-year Treasury note yields 0.18% (0.0018) the two-year note yields 0.26% (0.0026) the three-year note yields 0.34%
(0.0034) the five-year note yields 0.67% (0.0067) the seven-year note yields 1.12% (0.0112) and the ten-year note yields 1.72% (0.0172). Under the pure
expectations theory with no maturity risk:
a) What is the expected yield on a one-year note delivered one year from now?
b) What is the expected yield on a one-year note delivered two years from now?
c) What is the expected yield on a three-year note delivered two years from now?
d) What is the expected yield on a two-year note delivered five years from now?
e) What is the expected yield on a five-year note delivered five years from now?
f) What is the expected yield on a three-year note delivered seven years from now?