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1) If the 6-month zero rate is 0.20% and the 12-month zero rate is 0.30%, then what does the market expect the 6-month zero rate to be in 6 months?

1) If the 6-month zero rate is 0.20% and the 12-month zero rate is 0.30%, then what does the market expect the 6-month zero rate to be in 6 months?

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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1) If the 6-month zero rate is 0.20% and the 12-month zero rate is 0.30%, then what does the market expect the 6-month zero rate to be in 6 months? 2) If the 6-month par rate is 0.20% and the 12- month par rate is 0.30%, then what is the 12- month zero rate? 3) If the 48-month zero rate is 3.00%, then what is the present value of a 100 USD cash flow that arrives in 48 months? Report a positive number. 4) What is the yield-to-maturity of a 4-year, 1000 USD 10% coupon bond that makes semi-annual coupon payments? The zero rates are MonthsPeriodZero Rate 0.20% 0.30% 0.50% 0.80% 1.20% 1.70% 2.30% 3.00% 1 12 18 24 30 36 42 48 3 4 6. 8
Transcribed Image Text:1) If the 6-month zero rate is 0.20% and the 12-month zero rate is 0.30%, then what does the market expect the 6-month zero rate to be in 6 months? 2) If the 6-month par rate is 0.20% and the 12- month par rate is 0.30%, then what is the 12- month zero rate? 3) If the 48-month zero rate is 3.00%, then what is the present value of a 100 USD cash flow that arrives in 48 months? Report a positive number. 4) What is the yield-to-maturity of a 4-year, 1000 USD 10% coupon bond that makes semi-annual coupon payments? The zero rates are MonthsPeriodZero Rate 0.20% 0.30% 0.50% 0.80% 1.20% 1.70% 2.30% 3.00% 1 12 18 24 30 36 42 48 3 4 6. 8
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