Question

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 | ___% | ____% |

Answer #1

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...

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.)...

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...

Prices of zero-coupon bonds
reveal the following pattern of forward rates:
Year
Forward
Rate
1
6%
2
7
3
8
In addition to the zero-coupon bond, investors also may purchase
a 3-year bond making annual payments of $60 with par value
$1,000.
a.
What is the price of the coupon bond?(Do not round
intermediate calculations. Round your answer to 2 decimal places.
Omit the "$" sign in your response.)
Price
$
b.
What is...

Suppose that the prices of zero-coupon bonds with various
maturities are given in the following table. The face value of each
bond is $1,000.
Maturity
(Years)
Price
1
$
974.68
2
903.39
3
842.92
4
783.00
5
669.92
a. Calculate the forward rate of interest for
each year. (Round your answers to 2 decimal
places.)
Maturity (years)
Forward rate
2
%
3
%
4
%
5
%
b. How could you construct a 1-year forward
loan beginning in year 3?...

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

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...

The yields of four zero-coupon bonds of varying maturities are
as follows:
Maturity
YTM
1
6.1%
2
6.2%
3
6.3%
4
6.4%
If you expect the implied term structure to be the same next
year as it is this year, what is the expected return on the 1-year
zero-coupon bond over the coming year? Please express your answer
in percent, rounded to the nearest basis point.

The yields of four zero-coupon bonds of varying maturities are
as follows:
Maturity YTM
1 6.1%
2 6.2%
3 6.3%
4 6.4%
If you expect the implied term structure to be the same next
year as it is this year, what is the expected return on the 3-year
zero coupon bond over the coming year? Please express your answer
in percent, rounded to the nearest basis point.

The yields of four zero-coupon bonds of varying maturities are
as follows:
Maturity
YTM
1
6.1%
2
6.2%
3
6.3%
4
6.4%
If you expect the implied term structure to be the same next
year as it is this year, what is the expected return on the 1-year
zero-coupon bond over the coming year? Please express your answer
in percent, rounded to the nearest basis point.

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