Question

Below is a list of prices for $1,000-par zero-coupon Treasury securities of various maturities. An 12% coupon $100 par bond pays an semi-annual coupon and will mature in 1.5 years. What should be the YTM on the bond? Assume semi-annual interest compounding for this question. Round your answer to 4 decimal places. For example if your answer is 3.205%, then please write down 0.0321. Maturity (periods) Price of $1,000 par bond 1 943.4 2 873.52 3 770

Answer #1

**Formulae**

The following is a list of prices for zero-coupon bonds of
various maturities. Calculate the yields to maturity of each bond
and the implied sequence of forward rates. (Do not round
intermediate calculations. Round your answers to 2 decimal places .
Omit the "%" sign in your response.
Maturity (Years)
Price of Bond
YTM
Forward Rate
1
$980.90
___%
2
$914.97
___%
____%
3
$843.12
___%
____%
4
$771.76
___%
____%

The following is a list of prices for zero-coupon bonds with
different maturities and par values of $1,000.
Maturity (Years)
Price maturity 1 year = $ 925.15
Price maturity 2 years = 862.57
Price maturity 3 years = 788.66
Price maturity 4 years = 711.00
According to the expectations theory, what is the expected
forward rate in the third year?

The following is a list of prices for zero-coupon bonds of
various maturities.
a. Calculate the yield to maturity for a bond
with a maturity of (i) one year; (ii) two years; (iii) three years;
(iv) four years. (Do not round intermediate
calculations. Round your answers to two decimal
places.)
b. Calculate the forward rate for (i) the
second year; (ii) the third year; (iii) the fourth year.
(Do not round intermediate calculations.
Round your answers to two decimal places.)...

1. The following is a list of
prices for zero-coupon bonds of various maturities. Calculate the
yields to maturity of each bond and the implied sequence of forward
rates.
maturity years: Price of bond
1 943.40
2 898.47
3 847.62
4 792.16
2. [Chapter 15] The current yield curve
for default-free zero-coupon bonds is as follows:
Maturity (Years): YTM%
1 10%
2 11%
3 12%
a. What are the implied
1-year forward rates?
b. Assume that the pure
expectations hypothesis of the term structure...

1.Fill in the table below for the following zero-coupon bonds,
all of which have par values of $1,000. Use semi-annual
periods.
Price
Maturity (semi-annual periods)
Semi-Annual Period Rates
$
20
4.60
%
$
20
3.10
%
$
2.Consider a zero-coupon bond with an expect return of 5.5%, 15
years to maturity and a par-value of $1,000. (Assume annual
compounding)
a. Find the bond's price today..
b. What is the value of the bond next year if
interest rates increase to...

Suppose 6-month Treasury bills are trading at a YTM of 2%,
12-month T-bills are trading at a YTM of 2%. If 18-month Treasury
notes with a coupon rate of 7% are trading at par ($100), then what
is the 18-month spot rate?
Assume semi-annual compounding.
Round your answer to 4 decimal places. For example if your
answer is 3.205%, then please write down 0.0321.

The following is a list of prices for zero-coupon bonds of
various maturities.
a. Calculate the yield to maturity for a bond
with a maturity of (i) one year; (ii) two years; (iii) three years;
(iv) four years. (Do not round intermediate
calculations. Round your answers to two decimal
places.)
Maturity (years)
Price of Bond
1
$
955.90
2
916.47
3
834.12
4
766.39
b. Calculate the forward rate for (i) the
second year; (ii) the third year; (iii) the...

Below are yields of risk-free zero-coupon $1,000-par-value bonds
of various maturities.
Maturity (years)
1
2
3
4
5
YTM
3.25%
3.50%
3.9%
4.25%
Fill in the blank if market price of the five-year zero-coupon
bond is 809.79.
Construct yield curve using values from the table.
Suppose you would like to finance a project with equity. The
project is expected to deliver cash flows during the next 3 years.
Which of the risk-free rates from the table above you would use...

Suppose that the prices today of zero-coupon bonds with various
maturities are in the following table. The face value of every bond
is $1,000.
Maturity in years
Price
1
925.93
2
853.39
3
782.92
4
715.00
5
650.00
Calculate the one-year forward rate of interest for every
year.
Suppose that today you buy one 3-year maturity zero coupon bond.
How many 5-year maturity zeros would you have to sell to make
What are the cash flows from the strategy in...

Consider a corporate bond with a face value of $1,000, 2 years
to maturity and a coupon rate of 4%. Coupons are paid
semi-annually. The next coupon payment is to be made exactly 6
months from today. What is this bond's YTM assuming the following
spot rate curve. 6-month spot rate: 4%. 12-month: 5%. 18-month:
5.5%. 24-month: 6%. Assume semi-annual compounding. Round your
answer to 4 decimal places. For example if your answer is 3.205%,
then please write down 0.0321.

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