Given the observed yields below, what is the six-month spot rate, six months from now for...
Given the observed yields below, what is the six-month spot rate, six months from now for a bond maturing in 1 year?
6-month par yield = 1.0% 1-year par yield = 1.5% (both are annualized)
Solve using the standard bond value formula: PV = C1/(1+y1)1 + C2/(1+y2)2 + … + Cn/(1+yn)n
Hint: Assume a current price of 100 and the coupon rate is equal to the 1-year yield. Use 6 decimals of precision as you work through the problem. Enter your answer in percent format with 4 decimals.
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Given the observed yields below, what is the six-month spot
rate, six months from now for...
yield to maturity ofAS1000bond with aG96 obupon rate, semiannualaupoits andfwoven to maturity is 7.6% APR, compo price be? unded semia 48 06 the spot rates for six months, ears are 1%, 1....
yield to maturity ofAS1000bond with aG96 obupon rate, semiannualaupoits andfwoven to maturity is 7.6% APR, compo price be? unded semia 48 06 the spot rates for six months, ears are 1%, 1.1%, and 13%, all quoted as semiannually in 1% 11. Assume the current Treasu e pounded APRs. What is the price of a$1000 par 4% coupon bon maturing in eer he one year, and ly years (the next coupon is exactly six months from sowi trading for $1034.74. l...
Given the observed yields below, what is the 1-year forward rate, 4 years from now? [Hint:...
Given the observed yields below, what is the 1-year forward rate, 4 years from now? [Hint: This is the 1-year return that will take you from the 4-year average annualized return (yield) to the 5-year average annualized return) 4-year yield = 3.5% 5-year yield = 4.0% Forward rate (semi-annual) = [(1 + longer maturity rate/2)^# of periods/ (1 + shorter maturity rate/2)^(# of periods)] - 1
Consider the following spot rate curve: 6-month spot rate: 6%. 12-month spot rate: 11%. 18-month spot...
Consider the following spot rate curve: 6-month spot rate: 6%. 12-month spot rate: 11%. 18-month spot rate: 14%. What is the forward rate for a 6-month zero coupon bond issued one year from today? Equivalently, the question asks for f12, where 1 time period consists of 6 months. Remember, like spot rates, forward rates are expressed as bond-equivalent yields.
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1. The following table provides zero coupon bond yields. Maturity Bond equivalent yield 6 months 6% 1 year 8% A 12% coupon bond with coupons paid semiannually matures in one year. The par value of the bond is $1,000. What is the price of this bond? [First identify the cash flows.] A. $1,030 B. $1,032 C. $1,034 D. $1,038 2. The following are the prices of zero coupon bonds. Par value is $1,000 in each case. Maturity Price 6 months...
(1.) Consider the following annualized spot yields: Maturity Annualized Spot Rate One Year 5.00% Two Years...
(1.) Consider the following annualized spot yields: Maturity Annualized Spot Rate One Year 5.00% Two Years 5.50% Three Years 6.00% Four Years 6.00% Five Years ? (a.) Assuming the expectations theory of the term structure is correct, calculate the expected one-year interest rate one year from now (i.e. 1f2). (b.) Assuming the expectations theory of the term structure is correct, calculate the expected one-year interest rate three years from now (i.e. 3f4). (c.) Suppose a forecasting service predicts that th...
Bond with: Par Value: $1,000 Maturity: 4 years Coupon Rate: 6% Current Annualized 6-month yield of...
Bond with: Par Value: $1,000 Maturity: 4 years Coupon Rate: 6% Current Annualized 6-month yield of 9%. Assume that coupon payments are made semiannually to bondholders and that the next coupon payment is expected in 6 months. 1.) What is the bond's duration (annualized)? Compare this with the approximate duration.
A suppose you have a three-security portfolio containing bonds A, B and C. The modified duration...
A suppose you have a three-security portfolio containing bonds A, B and C. The modified duration of the portfolio is 6.5. The market values of bonds A, B and Care $30, $15 and $40, respectively. The modified durations of bonds A and Bare 3.5 and 5.5, respectively. Which of the following amounts is closer to the modified duration of bond C7 A) 9.1. B) 4.6. C) 7.2. D) 7.5. 7. Given the 1-year annualized spot rate of 8.3 percent, and...
A Company has liabilities that require payments of 2000 six months from now and 3000 one...
A Company has liabilities that require payments of 2000 six months from now and 3000 one year from now. The following investments are available to the company: Maturity Effective Yield Par Value Coupon Rate (years) (semi-annual) (semi-annual) 5% 6% 0.5 6.00% 8.00% 1000 1000 Calculate the amount of each bond to purchase and the total cost of the bonds needed to match the liability cash flows exactly
8. Yields on three Treasury notes are given as follows: Yield to Maturity Maturity Coupon Bond...
8. Yields on three Treasury notes are given as follows: Yield to Maturity Maturity Coupon Bond A 1 year 0% 5.25% Bond B 2 year 5% 5.50% Bond C 3 year 6% 6.00% Coupons are paid annually (A) What are the prices of the 1-year, 2-year, and 3-year notes? (3 marks) (B) What is the spot interest rates for years 1, 2 and 3? (6 marks) (C) What is the implied forward rate for year 2 to year 3 1f2?...
Term 1 5.00% 2 6.59% 3 6.80% 4 7.00% Spot Rate One year from now, you...
Term 1 5.00% 2 6.59% 3 6.80% 4 7.00% Spot Rate One year from now, you are considering the purchase of a 3 year zero coupon bond with a par value of 1,000. What price would you pay for the bond in one year? Round to the nearest dollar.
yield to maturity ofAS1000bond with aG96 obupon rate, semiannualaupoits andfwoven to maturity is 7.6% APR, compo price be? unded semia 48 06 the spot rates for six months, ears are 1%, 1.1%, and 13%, all quoted as semiannually in 1% 11. Assume the current Treasu e pounded APRs. What is the price of a$1000 par 4% coupon bon maturing in eer he one year, and ly years (the next coupon is exactly six months from sowi trading for $1034.74. l...
A suppose you have a three-security portfolio containing bonds A, B and C. The modified duration of the portfolio is 6.5. The market values of bonds A, B and Care $30, $15 and $40, respectively. The modified durations of bonds A and Bare 3.5 and 5.5, respectively. Which of the following amounts is closer to the modified duration of bond C7 A) 9.1. B) 4.6. C) 7.2. D) 7.5. 7. Given the 1-year annualized spot rate of 8.3 percent, and...
A Company has liabilities that require payments of 2000 six months from now and 3000 one year from now. The following investments are available to the company: Maturity Effective Yield Par Value Coupon Rate (years) (semi-annual) (semi-annual) 5% 6% 0.5 6.00% 8.00% 1000 1000 Calculate the amount of each bond to purchase and the total cost of the bonds needed to match the liability cash flows exactly
8. Yields on three Treasury notes are given as follows: Yield to Maturity Maturity Coupon Bond A 1 year 0% 5.25% Bond B 2 year 5% 5.50% Bond C 3 year 6% 6.00% Coupons are paid annually (A) What are the prices of the 1-year, 2-year, and 3-year notes? (3 marks) (B) What is the spot interest rates for years 1, 2 and 3? (6 marks) (C) What is the implied forward rate for year 2 to year 3 1f2?...
Term 1 5.00% 2 6.59% 3 6.80% 4 7.00% Spot Rate One year from now, you are considering the purchase of a 3 year zero coupon bond with a par value of 1,000. What price would you pay for the bond in one year? Round to the nearest dollar.
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