Exercise 4. Consider the following information about the U.S. Treasury Securities: Maturity (in years) 0,5 Coupon rate 0% Price Yield to Maturity $ 96,15 8,0% 1 0% $ 92,19 8,3% 1,5 2 2,5 8,5% $ 99,45 8,9% 9,0% $ 99,64 9,2% 11,0% $ 103,49 9,4% a) Calculate the theoretical 1.5-year spot rate based on the data outlined in the table. b) Calculate the theoretical 2-year spot rate based on the data outlined in the table. (10 points) (10 points)
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- am. 116.Consider the following money market information being quoted: Which of the following statements is true? Particulars GBP Interest Rate THB Interest Rate Spot Rate 1-year Expected Spot Rate Bid Rate 6.100% 10.550% THB5.6601/GBP THB5.9037/GBP C. Ask Rate 6.125% 10.625% THB5.6622/GBP THB5.9961/GBP a. There is an arbitrage which can only be made by initially borrowing GBP and then investing in THB. b. More than one of the options in this question are correct. The THB is selling at a premium to the GBP in the future. O d. There is an arbitrage which can only be made by initially borrowing THB and then investing in GBP.Assume that yields on U.S. Treasury securities were as follows:Term Rate6 months 4.69%1 year 5.492 years 5.663 years 5.714 years 5.895 years 6.0510 years 6.1220 years 6.6430 years 6.76 a. Plot a yield curve based on these data.b. What type of yield curve is shown?c. What information does this graph tell you?d. Based on this yield curve, if you needed to borrow money for longer than 1 year,would it make sense for you to borrow short term and renew the loan or borrow longterm? Explain.
- assume that the following data on U.S. Treasury securities is current: Years to maturity Yield to maturity 1 0.800% 2 0.910% 3 1.300% 4 1.350% 5 1.800% 7 2.100% 10 2.800% 20 4.200% According to the term structure, what would you have to pay for a $1000, zero-coupon, Treasury bond that…The Analysis and Valuation of Bonds, Investment Analysis and Portfolio Management1. The following table shows spot rates on US Treasury securities as of January 1, 2019:Term to Maturity CalculatedSpot Rates1 Year 3.50%2 Years 4.50%3 Years 5.00%4 Years 5.50%5 Years 6.00%10 Years 6.60%Based on the data on the tablea) Calculate the one-year implied forward rate, four years from now.b) Calculate the 2-year implied forward rate, two years from now.esc If 1 2 3 4 5 6 7 8 10 11 13 14 16 19 1. Find the Yield to Maturity (YTM) for the following government bonds Price Semi-ann Face valu Maturity YTM YTM Semi-ann Face valu Maturity Price YTM Semi-ann Face valu Maturity E 99.83 2.25% 100 3 2.31% ? 2.64% 2.38% 100 4 Q 2. Based on the following YTM for the various maturities, what price are these government bonds trading at? -$99.02 4.00% 3.57% 100 Type here to search Sheet1 f2 Price Semi-ann Face valu Maturity YTM a 3. What is the semi-annual coupon rate on the following government bonds? 2 YTM Semi-ann Face valu Maturity Price YTM Semi-ann Face valu Maturity W f3 # 98.45 2.50% 100 * 2.61% 3 2.17% 2% 100 2 4.30% 100 15 f4 Price Semi-ann Face valu Maturity YTM $ T YTM Semi-ann Face valu Maturity Price YTM Semi-ann Face valu Maturity 99.25 2.75% 100 10 2.84% f5 3% 5.50% 100 20 -$137.39 olo 5% 100 LO 5 TE Price Semi-ann Face valu Maturity YTM f6 YTM Semi-ann Face valu Maturity 97.59 3% 100 30 3.12% 17 6% 5.96% 100 30 hp &
- son.3You observe the yields of the following Treasury securities Year Yield to Maturity Spot Rate Year Yield to MaturitySpot Rate (Period) (%) (%) (Period) (%) (%) 0.5 (1) 5.25 5.25 5.5 (11) 7.75 7.97 1.0 (2) 5.50 5.50 6.0 (12) 8.00 8.27 1.5 (3) 5.75 5.76 6.5 (13) 8.25 8.59 2.0 (4) 6.00 ? 7.0 (14) 8.50 8.92 2.5 (5) 6.25 ? 7.5 (15) 8.75 9.25 3.0 (6) 6.50 ? 8.0 (16) 9.00 9.61 3.5 (7) 6.75 ? 8.5 (17) 9.25 9.97 4.0 (8) 7.00 ? 9.0 (18) 9.50 10.36 4.5 (9) 7.25 ? 9.5 (19) 9.75 10.77 5.0 (10) 7.50 ? 10.00 (20) 10.00 11.20 All the securities maturing from 1.5 years on are selling at par. The 0.5 and 1.0-year securities are zero-coupon instruments. Answer the below questions. (a) Calculate the missing spot rates. (b) What should the price of a 6% six-year Treasury security be?ook int ences Problem 2-11 (LG 2-7) Suppose we observe the three-year Treasury security rate (13) to be 4.9 percent, the expected one-year rate next year-E(21)-to be 5.4 percent, and the expected one-year rate the following year-E(31)-to be 6.4 percent. If the unbiased expectations theory of the term structure of interest rates holds, what is the one-year Treasury security rate? (Do not round intermediate calculations. Round your percentage answer to 2 decimal places. (e.g., 32.16)) _________% One-year Treasury security rate
- Yield curve A firm wishing to evaluate interest rate behavior has gathered yield data on five U.S. Treasury securities, each having a different maturity and all measured at the same point in time. The summarized data follow U.S. Treasury security Time to maturity Yield A 1 years 12.6% B 10 years 11.2% C 6 months 13.0 % D 20 years 11.0% E 5 year 11.4% a. Draw the yield curve associated with these data. b. Describe the resulting yield curve in part a, and explain what it says about the direction of future interest rates under the expectations theory.1. The following table gives the prices of US Treasury securities (pic 87445408). 2. Fill in the following table (1 point per correct entry to the nearest basis point, show all work) 3. Estimate the price and yield of a 2-year bond providing a semiannual coupon of 7% per annum. Face value ($) Time to maturity (years) Annual coupon ($) Bond price ($) 100 0.50 0.0 99 100 1.00 0.0 97 Scanned 100 h CamScar100r 1.50 4.0 100 CS 2.00 6.0 10313. Duration Calculate the durations and volatilities of securities A, B, and C. Their cash flows are shown below. The interest rate is 8%. A B C Period 1 40 20 10 Period 2 40 20 10 Period 3 40 120 110