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) 1 2 3 5 a. Calculate the forward rate of interest for each year. (Round your answers to 2 decimal places.) Maturity (years) Forward Rate % % Price $970.93 898.39 836.92 776.20 685.42 2 3 4 3 4 5 5 b. How could you construct a 1-year forward loan beginning in year 3? (Round your Rate of synthetic loan answer to 2 decimal places.) Face value Rate of synthetic loan % Face value Rate of synthetic loan % % % Face value Rate of synthetic loan % b. How could you construct a 1-year forward loan beginning in year 3? (Round your Rate of synthetic loan answer to 2 decimal places.) % < Prev 10 of 14 Next > c. How could you construct a 1-year forward loan beginning in year 4? (Round your Rate of synthetic loan answer to 2 decimal places.) % +

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) 1 2 3 5 a. Calculate the forward rate of interest for each year. (Round your answers to 2 decimal places.) Maturity (years) Forward Rate % % Price $970.93 898.39 836.92 776.20 685.42 2 3 4 3 4 5 5 b. How could you construct a 1-year forward loan beginning in year 3? (Round your Rate of synthetic loan answer to 2 decimal places.) Face value Rate of synthetic loan % Face value Rate of synthetic loan % % % Face value Rate of synthetic loan % b. How could you construct a 1-year forward loan beginning in year 3? (Round your Rate of synthetic loan answer to 2 decimal places.) % < Prev 10 of 14 Next > c. How could you construct a 1-year forward loan beginning in year 4? (Round your Rate of synthetic loan answer to 2 decimal places.) % +

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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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) 1 2 3 4 5 Price $983.78 865.89 797.92 732.00 660.24 Required: a. Calculate the forward rate of interest for each year. b. How could you construct a 1-year forward loan beginning in year 3? c. How could you construct a 1-year forward loan beginning in year 4?
Assume coupons are paid annually. Here are the prices of three bonds with 10 year maturities. Assume face value is $100. Bond Coupon a. What is the yield to maturity of each bond? b. What is the duration of each bond? Complete this question by entering your answers in the tabs below. Required A Required B What is the duration of each bond? Note: Do not round intermediate calculations. Round your answers to 2 decimal places.
The following table summarizes prices of various default-free zero-coupon bonds (expressed as a percentage of the face value): Maturity (years) Price (per $100 face value) 1 $96.32 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? a. Compute the yield to maturity for each bond. The yield on the 1-year bond is %. (Round to two decimal places.) 2 $91.93 3 $87.36 4 5 $82.57 $77.42
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) 1 2 3 4 5 Required: a. Calculate the forward rate of interest for each year. b. How could you construct a 1-year forward loan beginning in year 3? c. How could you construct a 1-year forward loan beginning in year 4? Required A Price $940.93 Complete this question by entering your answers in the tabs below. 868.39 800.92 735.40 670.48 Required B Maturity (years) 2 3 Calculate the forward rate of interest for each year. Note: Round your answers to 2 decimal places. Required C Forward Rate % % Prov 12 of 12 Next
Consider the market rates for the maturities 1, 2, and 3 years respectively in the table below. What is the price of a 3-year bond with annual payments, coupon rate equal to 9.50% and face value equal to $68,000. Answer with two decimal digits accuracy. Example: 74929.05 t 1 2 3 R(0,t) 1.95 2.90 4.40 Blank Excel Worksheet Your Answer: Answer
numerical answers should be calculated to at least two decimal places. Face value of bonds is taken as $100. assume coupon payments are paid once a year. Bond A: term to maturity=10 years, coupon rate = 9.75%, current price = $160.55. Find the current yield and yield to maturity of Bond A. Bond B: term to maturity-5 years, coupon rate = 11.25%, yield to maturity -2.35% p.a. Find the current price of Bond B. From your answer, what do say about this price when compared with the face value of the bond?
Assume that a bond will make payments every six months as shown on the following timeline (using six- month periods): Period Cash Flows a. What is the maturity of the bond (in years)? b. What is the coupon rate (as a percentage)? c. What is the face value? $19.36 2 $19.36 CHE a. What is the maturity of the bond (in years)? The maturity is years. (Round to the nearest integer.) 19 $19.36 20 $19.36+ $1,000
Consider the following bonds: . What is the percentage change in the price of each bond if its yield to maturity falls from 6.3% to 5.3%? The price of bond A at 6.3% YTM per $100 face value is $ (Round to the nearest cent.) - X Data table (Click on the following icon g in order to copy its contents into a spreadsheet.) Bond Coupon Rate (annual payments) Maturity (years) A 0.0% 15 В 0.0% 10 3.6% 15 8.4% 10 Print Done
Assume that a bond will make payments every six months as shown on the following timeline (using six-month periods): Period 1 2 29 30 Cash Flows $20.37 $20.37 $20.37 $20.37 + $1,000 a. What is the maturity of the bond (in years)? b. What is the coupon rate (as a percentage)? c. What is the face value?
c) Suppose you observe the following three bonds. Assume that all bonds are denominated at $100 face value per contract and that they pay their coupons annually. Price Coupon Maturity (years) Bond A 111.42 15 3 Bond B 108.33 15 Bond C 116.61 15 1 i) Compute the spot rates r0,1, r0,2 and r0,3. ii) Compute the forward rates r1,2 and r2,3.
Assume coupons are paid annually. Here are the prices of three bonds with 10-year maturities. Assume face value is $100. Bond Coupon (%) 2 Price (%) 48 80.57 97.19 134.92 a. What is the yield to maturity of each bond? b. What is the duration of each bond? Complete this question by entering your answers in the tabs below. Required A Required B What is the yield to maturity of each bond? Note: Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Bond Coupon YTM (%) 2 4 6.00 % 7.42% 8 7.01 %
The following table summarizes prices of various default-free zero-coupon bonds ($100 face value): (Click on the following icon in order to copy its contents into a spreadsheet.) Maturity (years) Price (per $100 face value) 1 $96.31 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 The yield on the 2-year bond is The yield on the 3-year bond is The yield on the 4-year bond is The yield on the 5-year bond is %. (Round to two decimal places.) %. (Round to two decimal places.) %. (Round to two decimal places.) %. (Round to two decimal places.) %. (Round to two decimal places.) 2 $91.79 3 $87.10 4 $82.48 5 $77.45

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