Question

1. Suppose that 6-month, 12-month, 18-month zero rates are, respectively, 4%, 4.2%, 4.4% per annum, with continuous compounding. Estimate the cash price of a bond with a face value of 100 that will mature in 18 months and pays a coupon of 2.00 semiannually.

Hint: the value of a bond should be the sum of the present value of each cash flow. This bond has the following cash flow: $2.00 at 6 month, $2.00 at 12 month, and $102 at 18 month. Please use the corresponding zero rates to be the discount rate for each cash flow.

Answer #1

Cash price of bond= **$99.363489** Calculated as
follows:

Suppose that 6-month, 12-month, 18-month, and 24-month zero
rates continuously compounded are 0.01, 0.01,0.04,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 $87
per annum semiannually. Please write down the numerical answer with
two decimal points and no dollar sign.

Assume that you are a financial analyst in the fixed income
department of an investment bank. You are given the following
information: the 6-month, 12-month, 18-month, 24-month, and
30-month zero rates are, respectively, 4%, 4.2%, 4.4%, 4.6%, and
4.8% per annum, with continuous compounding. Your task is to answer
the following questions.
1. Estimate the cash price of a bond with a face value of 100
that will mature in 30 months and pays a coupon of 4% per annum...

Suppose the yields to maturity of 6-month, 12-month, 18-month
and 24-month zero-coupon bonds are, respectively, 10%, 8%, 7%, and
6% per annum convertible semiannually.
a.) What is the 2-year par yield?
b.) Find the price of a 2-year semiannual coupon bond with
coupon rate of interest of 3.0407% per annum and face value
100.
c.) Comment of the result in b.
PLEASE SHOW ALL WORK BY HAND, WITHOUT USING A FINANCE CALCULATOR
OR EXCEL. THANK YOU.

the 6-month,12-month,18- month, and 24- month zero
rates are4%,4.5%, 4.75% and 5% with continouus compounding .
what are the rates with semi annual compounding ?

3. A 2-year T-note was issued 9 months ago with a face value of
$1000. It pays a 5% per annum coupon, paid semiannually. Suppose
that the 3-month zero rate is 6%; the 9-month zero rate is 6.1%;
the 15-month zero rate is 6.2%; and the 21-month zero rate is 6.3%,
where all of these rates are per annum with continuous compounding.
What is the price for the bond today?

Suppose that zero interest rates with continuous compounding are
as follows:
Maturity (months)
Rate (% per annum)
3
3.0
6
3.2
9
3.4
12
3.5
15
3.6
18
3.7
Calculate forward interest rates for the second, third, fourth,
fifth, and sixth quarters.

Suppose the current annualized spot rates are as follows: 6
months 2% 12 months 4% 18 months 6% Assume semi-annual compounding
and semi-annual coupon payment. An investor has an investment
horizon of six months. She can invest her money in three ways.
First, buy a 6-month zero-coupon bond with a par of $1000 and hold
it until maturity. Second, buy a 12-month zero-coupon bond with a
par of $1000 and sell it 6 months later. Third, buy a 18- month...

Assuming the current zero rates (based on continuous
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quarterly compounding) for a 3-month period starting 6 months from
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6-month, and 12-month OISs involve a single exchange at maturity;
the 2-year and 3-year OIS involve quarterly exchanges. The
compounding frequencies used for expressing the rates correspond to
the frequency of exchanges. Calculate the OIS zero rates using
continuous compounding. Interpolate between continuously compounded
rates linear to determine rates between 6 months and 12 months,
between 12 months and 2...

1)There is semiannual compounding bond. What would the YTM be on
a 10-year, zero coupon, $1,000 par value bond that is currently
trading at $551.4?
2)Allie Benson observes Samsung 8.25%, 6-year, annual-pay bond
trading at 104.34% of par (where par is $100). The bond is callable
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