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Question 784  boot strapping zero coupon yield, forward interest rate, term structure of interest rates

Information about three risk free Government bonds is given in the table below.

Federal Treasury Bond Data
Maturity Yield to maturity Coupon rate Face value Price
(years) (pa, compounding annually) (pa, paid annually) ($) ($)
1 0% 2% 100 102
2 1% 2% 100 101.9703951
3 2% 2% 100 100


Based on the above government bonds' yields to maturity, which of the below statements about the spot zero rates and forward zero rates is NOT correct?

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