Suppose that 6-month, 12-month, 18-month, and 24-month zero rates continuously compounded are 0.02, 0.03,0.04,and 0.01 per...
Suppose that 6-month, 12-month, 18-month, and 24-month zero rates continuously compounded are 0.02, 0.03,0.04,and 0.01 per annum, respectively. Estimate the cash price of a bond with a face value of $1000 that will mature in 24 months pays a coupon of $84 per annum semiannually. Please write down the numerical answer with two decimal points and no dollar sign.
Homework Answers
=(84/2)*e^(-0.02*6/12)+(84/2)*e^(-0.03*12/12)+(84/2)*e^(-0.04*18/12)+(1000+84/2)*e^(-0.01*24/12)
=$1,143.26
Add Answer to:
Suppose that 6-month, 12-month, 18-month, and 24-month zero
rates continuously compounded are 0.02, 0.03,0.04,and 0.01 per...
Suppose that 6-month, 12-month, 18-month, and 24-month zero rates are 3.8%, 4%, 4.3%, and 4.6% per...
Suppose that 6-month, 12-month, 18-month, and 24-month zero rates are 3.8%, 4%, 4.3%, and 4.6% per annum with continuous compounding respectively. Estimate the cash price of a bond with a face value of 100 that will mature in 24 months and pays a coupon of 10% per annum semiannually.
Suppose that 6-month, 12-month, 18-month, and 24-month zero rates are 3.8%, 4%, 4.3%, and 4.6% per annum with continuous...
Suppose that 6-month, 12-month, 18-month, and 24-month zero rates are 3.8%, 4%, 4.3%, and 4.6% per annum with continuous compounding respectively. Estimate the cash price of a bond with a face value of 100 that will mature in 24 months and pays a coupon of 10% per annum semiannually. approx. $112.37 approx. $104.56 approx. $110.17 approx. $99.85
REQUIRED Let the continuously compounded zero interest rates for 6, 12 and 18 months be: r05-4%,...
REQUIRED Let the continuously compounded zero interest rates for 6, 12 and 18 months be: r05-4%, ri -5%, and r1.5-5.9%, p.a. respectively. Calculate the prices of a 6-month zero-coupon note a 1-year bond with 7% annual coupon rate (semi-annual payment), and a 15-year coupon bond with 3% annual coupon rate (semi-annual payment). Assume a bond face value of £100 a) (7 marks) b) Calculate the annualised yield to maturity for each security from question (a) and express it both in...
6. Calculated Numeric: Using Zero Rate table A Estima... Points: 15 Question Using Zero Rate table A Estimate the...
6. Calculated Numeric: Using Zero Rate table A Estima... Points: 15 Question Using Zero Rate table A Estimate the cash price of a bond with a face value of $100 that will mature in 24 months and pays a coupon of 4 semiannually per annum Answer Answer range .. Table A - Zero Rates Suppose that zero interest rates with continuous compounding are as follo Maturity (months) Rate(% per annum) 4.0 4.2 4.4 4.5 4.6 4.7 5.0 24
Exercise 2. The 6-month, 12-month. I 8-month, and 24-month zero rates are 4%, 4.5%, 4.75% and 5%, with continuous compounding (a) What are the rates with semi-annual compounding? (c) Forward rates ar...
Exercise 2. The 6-month, 12-month. I 8-month, and 24-month zero rates are 4%, 4.5%, 4.75% and 5%, with continuous compounding (a) What are the rates with semi-annual compounding? (c) Forward rates are rates of interest implied by current zero rates for periods of time in the future. Calculate the forward rate for year 2, i.e. the rate for the period of time between the end of 12-month and the end of 24-month. (d) Consider a 2-year bond providing semiannual coupon...
6. (20 points) Suppose months, maturity in 12 months, and maturity in 18 months. Suppose the 6 month bond is a zero-cou...
6. (20 points) Suppose months, maturity in 12 months, and maturity in 18 months. Suppose the 6 month bond is a zero-coupon bond and has a theoretical price of $101. Suppose the 1 year bond pays a coupon every 6 months at an annual rate of $6, and has a theoretical price of $97. Suppose the 18 month bond pays a coupon every 6 months, at an annual rate of $8 and has a theoretical price of $96. The face...
The 18-month, and 24-month risk-free zero rates are 4.75%, and 5% with semiannual compounding. What is...
The 18-month, and 24-month risk-free zero rates are 4.75%, and 5% with semiannual compounding. What is the value of an FRA where the holder pays LIBOR and receives 7% (semiannually compounded) for a six-month period beginning in 18 months? The principak is $10 million
You observe the following Treasury bills and bond prices available in Saudi Arabia Bond/Bill
.1. You observe the following Treasury bills and bond prices available in Saudi Arabia Bond/Bill Bond/Bill principalTime to maturityAnnual couponBond price1000.25099.21000.50098.31000.75097.210016.2 (Quarterly payments)1021001.256.6 (Quarterly Payments)102.5a) Calculate continuously compounded zero rates for maturities of 3 months, 6 months, 9 months, 12 months and 15 months. b) Calculate the par yield for the following bonds: I. A 12-month bond that pays coupons semiannually. II. A 12-month bond that pays coupons quarterly. c) What is the continuously compounded yield on the coupon-paying bonds, which mature in 1 and...
i need simple explain please 7) The zero rates for three, six, nine and twelve compounding....
i need simple explain
please
7) The zero rates for three, six, nine and twelve compounding. These rates suggest that the forwa continuous compounding. What is the present va annum rate with quarterly compounding) for $1,000,000? e, Six, nine and twelve months are 8%, 8.2%, 8.4% and 8.5% with continuous Best that the forward rate between nine months and twelve months is 8.8% with Is the present value of an FRA that enables the holder to earn 9.4% (per very...
Calculate continuously compounded zero rates for the following bonds. Please include calculation steps. Bond Principal ($)...
Calculate continuously compounded zero rates for the following bonds. Please include calculation steps. Bond Principal ($) Time to maturity (years) Annual Coupon ($) Bond Price ($) Zero rate (%) 100 0.5 0 97 100 1.0 0 94 100 1.5 8.2 102 100 2.0 9.0 103 Half the stated coupon is assumed to be paid every six months. Note: Please show full calculation steps
REQUIRED Let the continuously compounded zero interest rates for 6, 12 and 18 months be: r05-4%, ri -5%, and r1.5-5.9%, p.a. respectively. Calculate the prices of a 6-month zero-coupon note a 1-year bond with 7% annual coupon rate (semi-annual payment), and a 15-year coupon bond with 3% annual coupon rate (semi-annual payment). Assume a bond face value of £100 a) (7 marks) b) Calculate the annualised yield to maturity for each security from question (a) and express it both in...
6. Calculated Numeric: Using Zero Rate table A Estima... Points: 15 Question Using Zero Rate table A Estimate the cash price of a bond with a face value of $100 that will mature in 24 months and pays a coupon of 4 semiannually per annum Answer Answer range .. Table A - Zero Rates Suppose that zero interest rates with continuous compounding are as follo Maturity (months) Rate(% per annum) 4.0 4.2 4.4 4.5 4.6 4.7 5.0 24
Exercise 2. The 6-month, 12-month. I 8-month, and 24-month zero rates are 4%, 4.5%, 4.75% and 5%, with continuous compounding (a) What are the rates with semi-annual compounding? (c) Forward rates are rates of interest implied by current zero rates for periods of time in the future. Calculate the forward rate for year 2, i.e. the rate for the period of time between the end of 12-month and the end of 24-month. (d) Consider a 2-year bond providing semiannual coupon...
6. (20 points) Suppose months, maturity in 12 months, and maturity in 18 months. Suppose the 6 month bond is a zero-coupon bond and has a theoretical price of $101. Suppose the 1 year bond pays a coupon every 6 months at an annual rate of $6, and has a theoretical price of $97. Suppose the 18 month bond pays a coupon every 6 months, at an annual rate of $8 and has a theoretical price of $96. The face...
i need simple explain
please
7) The zero rates for three, six, nine and twelve compounding. These rates suggest that the forwa continuous compounding. What is the present va annum rate with quarterly compounding) for $1,000,000? e, Six, nine and twelve months are 8%, 8.2%, 8.4% and 8.5% with continuous Best that the forward rate between nine months and twelve months is 8.8% with Is the present value of an FRA that enables the holder to earn 9.4% (per very...
Most questions answered within 3 hours.
-
Which of the following is true of clinical significance? A. It
is a measure of how...
asked 24 minutes ago -
Pittsburg Savings & Loan makes four kinds of loans. These
loans, with the yearly interest rate...
asked 8 minutes ago -
a. If your income increases and you are subject to a
proportional tax system, what will...
asked 9 minutes ago -
Healthy people have body temperatures that are normally
distributed with a mean of 98.20 degrees Fahrenheit...
asked 43 minutes ago -
1. A crossover study was conducted to investigate whether oat
bran cereal helps to lower serum...
asked 19 minutes ago -
Where are the various locations that viral assembly can occur
within the cell and how does...
asked 18 minutes ago -
Imagine that you are the head of a profitable Silicon Valley
software company seeking to expand...
asked 18 minutes ago -
What is the brightness (total power output) of the Aldebaran
star
(we admit that the luminous...
asked 22 minutes ago -
How does vertical integration and diversification impact a
company's organizational structure and activity?
asked 24 minutes ago -
10 difference between wind and insect pollinated flowers
asked 40 minutes ago -
A river 105.1 m wide flows toward the south at 33.6 m/min. A
girl on the...
asked 49 minutes ago -
A disk of m=5 kg and radius r=2 m starts from rest and rolls
down a...
asked 44 minutes ago