Question

Finance 4397 Seminar in Finance Fixed Income Problems Suppose you are given the following spot rates and for simplicity assume the bonds are annual and the time periods are annual: CF PV 3.00% 3.30% 3.50% 3.90% 4.40% 4.75% 4.95% 5.05% 5.15% 5.25% 5.40% 5.50% 5.60% 5.65% 5.75% 5.80% 10 12 13 14 15 16 What is the price of a 4.5% coupon bond maturing in 12 years? 1. What is the YTM on the above bond... ie, what single rate provides the same value as the bond? 2. 3. What is the duration of the bond using the approximation formula? 4. What is the duration of the bond using the weighted average CF formula? 5. What are the following implied forward rates: а.fs b. ifo С. 7f12

Assume face value is $1,000.

its not an exam, its just a homework assignment.

Answer 1

Date Paga Tivee- Armual, i Benda also anmual Amucnt Coop nsu yS+ 什.oSS -oss は Thus, ie 13.8b

Date Page 4s? ↑s yTm 압.te bond ジーDuration-of bond-us a ca g.4 = 8.91

Paga 2 알아? mula 98857|-7 Bon Valva 으.948-_ㅡㅡㅡㅡㅡ o:893 80-83 1ys.ab 17.13 9s.75 み6.yi a34.1a So.9 e-765 0687 o.618 4S 43 7 73 loyご &S 81.08 우15, 86