An analyst gathers the following information about two similarly rated 8% semiannual coupon payment bonds: Bond 1 Bond 2 Price 114.243 112.691 Years to maturity. 3 5 Yield to maturity. 3% 5% Q. Using matrix pricing, the price per 100 of par value of a 4-year semiannual coupon payment bond with similar credit quality and a 7.6% annual coupon is closest to: Confirm A. 113.07. B. 113.19. C. 113.47.

An analyst gathers the following information about two similarly rated 8% semiannual coupon payment bonds: Bond 1 Bond 2 Price 114.243 112.691 Years to maturity. 3 5 Yield to maturity. 3% 5% Q. Using matrix pricing, the price per 100 of par value of a 4-year semiannual coupon payment bond with similar credit quality and a 7.6% annual coupon is closest to: Confirm A. 113.07. B. 113.19. C. 113.47.

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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You are given the following information. All bonds are from the same issuer (same credit risk). Bond Coupon Rate Maturity Price ($) 6% 1036.17 5% 2 1041.49 C 6% 3 1074.21 All coupon payments are annual and face values are $1000. Answer the following and express rates as a %, to 2 decimal places a) Determine the 1-, 2- and 3-year spot rates from the given prices (Use the Bootstrapping method). 1- Year Spot rate is 2- Year Spot rate is 3- Year Spot rate is b) Compute the implied annual forward rate from year one to year two, i.e., f2 --> c) Compute the implied annual forward rate from year two to year three, i.e., f3 -->
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Problem: You are given the following data for two bonds with semiannual payments (A and B) Bond Settlement Date B 2/15/2020 2/15/2020 Maturity Date Coupon rate 2/15/2040 2/15/2040 4% 8% Similar bonds with 20 year to maturity sell for 9% coupon rates in the market. a) Calculate the bond value for bond A and B b) Calculate the YTM for bond A and B Bond Valuation Settlement Date 2/15/2020 2/15/2020 Maturity Date Coupon rate Required return Redemption Value Frequency Basis Calculate the PV of the bond in U.S. S 2/15/2040 2/15/2040 8% 4% 4.50% 4.50% 100 100 2 a) Use the Price Function B) Use the Yield Function
The following table summarizes prices of various default-free zero-coupon bonds ( $100 face value): Maturity (years) 1 2 3 4 5 {:[" Price (per "$100],[" face value) "]:} $96.33 $91.98 $87.41 $82.53 $77.41 a. Compute the yield to maturity for each bond. b. Plot the zero-coupon yield curve (for the first five years). c. Is the yield curve upward-sloping, downward-sloping, or flat? Note: Assume annual compounding. a. Compute the yield to maturity for each bond. The yield on the 1-year bond is %. (Round to two decimal places.) The yield on the 2-year bond is %. (Round to two decimal places.) The yield on the 3-year bond is %. (Round to two decimal places.) The yield on the 4-year bond is enter your response here%. (Round to two decimal places.) Part 5 The yield on the 5-year bond is enter your response here%. (Round to two decimal places.) Note:- Do not provide handwritten solution. Maintain accuracy and quality in your answer. Take care of plagiarism. Answer completely. You will…
A bond for the Chelle Corporation has the following characteristics: Maturity - 12 years Coupon - 12% Yield to maturity - 11.50% Macaulay duration - 6.73 years Convexity - 59.30 Noncallable Assume bond pays interest semiannually. Use only the data provided in the table above (in the problem statement) for your calculations. a. Calculate the approximate price change for this bond using only its duration, assuming its yield to maturity increased by 100 basis points. Do not round intermediate calculations. Round your answer to two decimal places. Use a minus sign to enter negative value, if any. Percentage change in price: % When you are dealing with large yield changes to calculate more precise bond price change -Select- v on price change. b. Calculate the approximate price change for this bond, using only duration, if its yield to maturity declined by 200 basis points. Do not round intermediate calculations. Round your answer to two decimal places. Use a minus sign to enter negative…
Using Excel, compute yield-to-maturity for the following bonds (report your Excel formulas and their inputs): Price = 90, Fixed Coupon Rate = 5%, Maturity = 5 years, Coupon Frequency = 1 b. Price = 90, Fixed Coupon Rate = 5%, Maturity = 5 years, Coupon Frequency = 2 Price = 90, Fixed Coupon Rate = 5%, Maturity = 5 years, Coupon Frequency = 4 а. %3D %3D С. %3D For each bond above, compute the Effective Annual Rate so that you can directly compare the bonds with different coupon payment frequencies. Based on these comparable effective annual rates, which bond has the highest expected return? How does the effective annual rates differ from yield-to-maturities computed in above? What is the explanation of these differences?|
Compute yield-to-maturity for the following zero-coupon bonds: 1-year zero-coupon bond, traded currently at 980 dollars 2-years zero-coupon bond, traded currently at 920 dollars 3-years zero-coupon bond, traded currently at 840 dollars Assume that all 3 bonds have the same nominal: 1000 dollars. Using YTMs calculated plot the yield curve.
The tables below show, respectively, the characteristics of two annual-pay bonds from the same issuer with the same priority in the event of default, and spot interest rates. Neither bond’s price is consistent with the spot rates. Using the information in these tables, recommend either bond A or bond B for purchase. Bond Characteristics Bond A Bond B Coupons Annual Annual Maturity 3 years 3 years Coupon rate 10% 6% Yield to maturity 10.65% 10.75% Price 98.40 88.34 Spot Interest Rates Term (Years) Spot Rates (Zero-Coupon) 1 5% 2 8 3…
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Also how would this look in excel using function
The YTMs on benchmark one-year, two-year, and three - year annual pay bonds that are priced at par are listed in the table below. Bond Yield 1 - year 1.74 2 - year 3.37 3 - year 3.98 What is the correct no - arbitrage price for a 3 year risk free bond with a 5.35% coupon, per $100 of par value?
Assume the following: Bond A coupon = 6%, maturity = 5 years, yield to maturity = 6% Bond B coupon = 0%, maturity = 5 years, yield to maturity = 6% Bond C coupon = 6%, maturity = 5 years, yield to maturity = 6.5% Which of the following statements concerning duration is correct? Group of answer choices A. Duration of C<Duration of A=Duration of B. B. Duration of A>Duration of B>Duration of C. C. Duration of C < Duration of A < Duration of B. D. Duration of A< Duration of B<Duration of C.

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