Assignment 7 finaincal analytics

不 Which of the bonds A to D is most sensitive to a 1%drop in interest rates from Consider the following bonds: 6.5% to 5.5% Which bond is least sensitive? Bond Data table is most sensitive. (Select from the drop-down menu.) (Click on the following icon in order to copy its contents into a spreadsheet.) Bond A BC D Coupon Rate (annual payments) 0.0% 0.0% 4.3% 7.7% Print Done Maturity (years) 10 15 15 10

anawer with explanation. Please answer fast i give you upvote.

Please correct answer and don't use Ai solution

Data table ↑ The current zero-coupon yield curve for risk-free bonds is as follows: What is the price per $100face value of a two-year, zero-coupon, risk-free bond? The price per $100 face value of the two-year, zero-coupon, risk-free bond is $ (Click on the following icon in order to copy its contents into a spreadsheet.) Maturity (years) YTM 1 4.98% 2 5.48% 3 5.78% Print Done 4 5 5.96% 6.09% (Round to the nearest cent.) - X

please how is it. 3.64% . calculations please , i want to understand my mistakeb

The current zero-coupon yield curve for risk-free bonds is as follows: What is the price per $100 face value of a two-year, zero-coupon, risk-free bond? Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Maturity (years) YTM View an example Get more help - % 5 J 1 5.01% B 6 Y MacBook Pro H 2 5.52% & 7 N Print U J * 8 3 5.78% Done M 1 ( 9 K 4 5.94% < V 20 0 5 6.06% X command V ↓ X Clear all 1 { + = Check answer delete

Question 3. A fixed rate bond with notional 1 pays annual coupons of c at times T1, T2, . . . , Tn where Ti+1 = Ti + 1 and notional 1 at time Tn. a) Write down the bond price BFXD c (t) at time t ≤ T0 in terms of ZCBs. b) Suppose t = T0 = 0. The yield of the bond is defined as the value Y such that B FXD c (0) = Xn i=1 c (1 + Y ) i + 1 (1 + Y ) n , that is, the rate at which IRR discounting gives the bond price. By summing a geometric series, show that BFXD c (0) = 1 if and only if Y = c. c) By writing a swap as the difference between a fixed rate bond and a floating rate bond, show that BFXD c (0) = 1 if and only if c = y0[0, Tn]. Remark 1. This exercise shows that the T-year spot swap rate is the bond coupon such that a T-maturity bond has price par, that is 100% of notional.

please solve it excel version

Q2. Duration and Convexity Bond A has face value at $1,000, coupon rate of 6% paid semi-annually, 5 years to maturity, and a yield to maturity of 7%. a. Using the bond pricing formula, calculate the price of the bond and duration. ABC b. Calculate the convexity of the bond. c. Using the calculations from above, what is the "approximated bond price change" using duration and convexity, if the interest rate increases by 1%? d. What is the actual change in the bond price if the interest rate increases by 1%? e. Based on c) and d) above, discuss the roles of duration and convexity in estimating the price change. Which risk measure plays a bigger role? f. Suppose you have two bonds with the same maturity date but one bond has a 10% coupon rate while the other has a 5% coupon rate. Which of these two bonds would have a higher duration?

Consider the following bonds. Bond A B с D Coupon Rate (annual payments) 0.0% 0.0% 3.5% 7.8% Maturity (years) 10 15 15 10 Which of the bonds A to D is most sensitive to a 1% drop in interest rates from 6.7% to 5.7%? Which bond is least sensitive? Provide an intuitive explanation for your answer.

Q2. Duration and Convexity Bond A has face value at $1,000, coupon rate of 6% paid semi-annually, 5 years to maturity, and a yield to maturity of 7%. a. Using the bond pricing formula, calculate the price of the bond and duration. b. Calculate the convexity of the bond. c. Using the calculations from above, what is the "approximated bond price change" using duration and convexity, if the interest rate increases by 1%? d. What is the actual change in the bond price if the interest rate increases by 1%? e. Based on c) and d) above, discuss the roles of duration and convexity in estimating the price change. Which risk measure plays a bigger role? f. Suppose you have two bonds with the same maturity date but one bond has a 10% coupon rate while the other has a 5% coupon rate. Which of these two bonds would have a higher duration?

The current zero-coupon yield curve for risk-free bonds is as follows: What is the price per $100 face value of a two-year, zero-coupon, risk-free bond? The price per $100 face value of the two-year, zero-coupon, risk-free bond is $ Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Maturity (years) 1 2 YTM 4.99% 5.53% Print 3 5.72% Done (Round to the nearest cent.) 4 5.92% 5 6.07% X

Explain what you see from the pricing calculations. How do the two bonds differ?    Bond C Bond Price = PV(rate,nper,pmt,fv) Given: n = Period which takes values from 0 to the nth period = 0,1,2,3 & 4          Cn = Coupon payment in the nth period = 10%*$1,000 = $100      YTM = interest rate or required yield = 9.6%              P = Par Value of the bond = $1,000   Bond Z Bond Price = PV(rate,nper,pmt,fv) Given: n = Period which takes values from 0 to the nth period = 0,1,2,3 & 4          Cn = Coupon payment in the nth period = 0%*$1,000 = $0.00      YTM = interest rate or required yield = 9.6%              P = Par Value of the bond = $1,000   years Bond A Bond Z 4 $1,012.79 $693.04 3 $1,010.02 $759.57 2 $1,006.98 $832.49 1 $1,003.65 $912.41 0 $1,000.00 $1,000.00

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The following information about bonds A, B, C, and D are given. Assume that bond prices admit noarbitrage opportunities. What is the convexity of Bond D?Cash Flow at the end ofBond Price Year 1 Year 2 Year 3A 91 100 0 0B 86 0 100 0C 78 0 0 100D ? 5 5 105

Consider the following pure discount bonds with face value $1,000: Maturity Price 1 952.38 2 898.47 3 847.62 4 799.64 5 754.38 a). Find the spot rates and draw a yield curve.b). Assume that there is a constant liquidty premium that is equal to 1% across all maturities. Find the forward rates and the expected one period future interest rates.

Please answer questions only no need to show work

First part of question the answer is 4.3%   Also calculate this but also calculate with coupon of 5% for Bond a and 6% for Bond B.

Suppose the current, zero-coupon, yield curve for risk-free bonds is as follows: (Click on the following icon in order to copy its contents into a spreadsheet.) Maturity (years) 1 4.45% 2 4.80% Yield to Maturity a. What is the price per $100 face value of a 3-year, zero-coupon, risk-free bond? b. What is the price per $100 face value of a 4-year, zero-coupon, risk-free bond? c. What is the risk-free interest rate for a 3-year maturity? Note: Assume annual compounding. a. What is the price per $100 face value of a 3-year, zero-coupon, risk-free bond? The price is $ (Round to the nearest cent.) b. What is the price per $100 face value of a 4-year, zero-coupon, risk-free bond? The price is $. (Round to the nearest cent.) c. What is the risk-free interest rate for a 3-year maturity? The risk-free rate is %. (Round to two decimal places.) C--- 3 5.06% 4 5.25% 5 5.38%

Problem 1 Suppose you are given the following information about the default-free, coupon-paying yield curve: Maturity (years) Coupon Rate (annual payments) 1 2 3 4 0.00% 10.00% 6.00% 12.00% ΥTM 2.000% 3.908% 5.840% 5.783% a) Determine the yield to maturity of a two-year zero-coupon bond. b) What is the zero-coupon yield curve for years 1 through 4. c) What is the forward rate for year 3 (short rate from end of year 2 until end of year 3). d) What should have been the zero-coupon yield for year 4 so that the forward rate in year 4 is the same than year 3. Problem 2 Currently the yield curve observed in the market is as follows: y1 = 7%, y2 = 8%, and Y3 = 9%. You are choosing between a two-year and three-year maturity bonds all paying annual coupons of 8%, once a year. You strongly believe that at the end of year the yield curve will become flat at 9%. Which bond should you buy if you plan to close out your position in one year right after receiving the coupon payment? Problem 3 Your…

please don't solve excel version. Please make a classic transactional solution with formulas.