Answer a
Using excel the YTM rate is calculated
Answer b
Forward rate = (1+yield rate)^n1(1+yield)^n2 -1
Assume where n1 is the term of bond 1 and having a certain yield rate
n2 is the term of bond2 having certain yield rate
In case of 1.5 year bond the yield rate is 5%
and for the 1 year bond the yield rate is also 5%
Forward rate = (1+yield rate)^n1(1+yield)^n2 -1
= (1+.05)^1.5(1+.05)^1 -1
1.0761.05 -1
= 1.025‐1
= .025
=2.5%
Answer c
Theoretical price of a zero coupon bond after 1 year is shown below applying the formula of excel.
The theoretical price is $102.04
6. (20 points) Suppose months, maturity in 12 months, and maturity in 18 months. Suppose the 6 month bond is a zero-cou...
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 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.
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%, 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...
Suppose you buy a TIPS bond with a 5% coupon rate, 18 months to maturity, pays semiannually, and a YTM of 3.3%. The CPI is currently 275.2. It will increase to 288 in 6 months, to 291 in 12 months, and to 294 in 18 months. Calculate the price of this bond. Answer is 1093.88 Please show steps.
Question 12 6 pts Consider a 4-year bond with a face value of 100 USD/bond that pays coupons every six months. It has a yield to maturity of 3.0225% and an annual coupon rate of 3.0000%. What is the bond's price if there are no arbitrage opportunities? (Input your answer with 4 decimals) --
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...
Assume 6-month zero rate is 4.045%. Also use the following table to answer the questions below. The following table gives the prices of bonds: Face Value Time To Maturity Coupon / Year Bond Price 100 1 Year 0 97 100 1.5 Year 15 98.5 *Half of the stated coupon is paid every six months ** all rates are continuously compounded What is the zero rate for 1 year? 1) 3.046% 1) 4.545% 1) 3.455% 1) 5.206% 2. What is 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
Suppose that a bond has one year to maturity. The yield to maturity on the bond if it was »%. (Round your response to the nearest whole number) Consider a coupon bond with a face value of $900, one year to maturity, and a coupon rate of 8% Given a bought for $1130.00 and has a $1 100 face value with a coupon rate of 7% yield to maturity of8%the price the bond wil sel tris (Round your response to...