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I think what you wrote is correct. I'll rephrase everything according to my way to give you another point of view. The price of a coupon bond at time $t = 0$ is the sum of the discounted cashflows given by the coupons and the face value: $$P_0 = F \cdot D(0, T_n) + \sum_{i=1}^{n} 11.04\% \cdot 0.5 \cdot F \cdot D(0, T_i)$$ where $F$ is the face value, ...

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@Arrigo's answers are quite good; I'll try to beef up his points a bit more. Yield curves should be constructed using instruments of similar credit risks. If you're building a US Treasury yield curve, then you should use Treasury bills, notes, and bonds (although lots of people actually exclude Treasury bills because of market segmentation concerns). On ...

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I'll try to give you an answer. I think the term structure is built from those financial products because they are the most liquid for those maturities: theoretically, a liquid instrument has a price coming from a large consensus which you can think of the market. This is an "academical" reason, probably there are other reasons also (I'm still learning). ...

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