Q1) a) On 1st January 2021 and RBI is considering to issue a new 3-yrs G-Sec bond (semi- annual coupon paying bond) through an auction for a notified amount of Rs. 3000 crs. as a part of the borrowing programme. Let the name of the bond be Bond X. Below are the yields obtained in Auction. Find the coupon rate of the newly issued bond. b) What would be the price of the bond? Bid Yield Bid Amount (Crs) Sl no 1 4.70% 600 2 5.05% 300 3 4.85% 400 4 5.15% 500 5 4.77% 400 6 4.75% 700 7 5.12% 400 8 5.00% 300 9 4.92% 200 10 4.95% 400 (3+2=5) c) Exactly after one year (1 yr), that is on 1st January 2022, the following securities are getting traded in the market at NDS-OM. All the bonds are semi-annual coupon paying bonds. T-bills are the money market instruments. Symbol Secutity Name Maturity time ( yrs) Traded Price (Rs) A 182-Tbill 0.5 97.9317 B 364-Tbill 1 95.8823 C 6.17 GS 20XX 1.5 100.6900 D 6.84 GS 20XX 2 102.2950 E 7.16 GS 20XX 2.5 103.0800 Find the discount factors Z(0,t) from the above securities. Plot the discount factors with time.
Q1) a) On 1st January 2021 and RBI is considering to issue a new 3-yrs G-Sec bond (semi- annual coupon paying bond) through an auction for a notified amount of Rs. 3000 crs. as a part of the borrowing programme. Let the name of the bond be Bond X. Below are the yields obtained in Auction. Find the coupon rate of the newly issued bond. b) What would be the price of the bond? Bid Yield Bid Amount (Crs) Sl no 1 4.70% 600 2 5.05% 300 3 4.85% 400 4 5.15% 500 5 4.77% 400 6 4.75% 700 7 5.12% 400 8 5.00% 300 9 4.92% 200 10 4.95% 400 (3+2=5) c) Exactly after one year (1 yr), that is on 1st January 2022, the following securities are getting traded in the market at NDS-OM. All the bonds are semi-annual coupon paying bonds. T-bills are the money market instruments. Symbol Secutity Name Maturity time ( yrs) Traded Price (Rs) A 182-Tbill 0.5 97.9317 B 364-Tbill 1 95.8823 C 6.17 GS 20XX 1.5 100.6900 D 6.84 GS 20XX 2 102.2950 E 7.16 GS 20XX 2.5 103.0800 Find the discount factors Z(0,t) from the above securities. Plot the discount factors with time.
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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Transcribed Image Text:Q1) a) On 1st January 2021 and RBI is considering to issue a new 3-yrs G-Sec bond (semi-
annual coupon paying bond) through an auction for a notified amount of Rs. 3000 crs. as a
part of the borrowing programme. Let the name of the bond be Bond X. Below are the
yields obtained in Auction. Find the coupon rate of the newly issued bond.
b) What would be the price of the bond?
Bid Yield Bid Amount (Crs)
Sl no
1
4.70%
600
2
5.05%
300
3
4.85%
400
4
5.15%
500
5
4.77%
400
6
4.75%
700
7
5.12%
400
8
5.00%
300
9
4.92%
200
10
4.95%
400
(3+2=5)
c) Exactly after one year (1 yr), that is on 1st January 2022, the following securities are
getting traded in the market at NDS-OM. All the bonds are semi-annual coupon paying
bonds. T-bills are the money market instruments.
Symbol Secutity Name
Maturity time (
yrs)
Traded Price
(Rs)
A
182-Tbill
0.5
97.9317
B
364-Tbill
1
95.8823
C
6.17 GS 20XX
1.5
100.6900
D
6.84 GS 20XX
2
102.2950
E
7.16 GS 20XX
2.5
103.0800
Find the discount factors Z(0,t) from the above securities. Plot the discount factors with
time.
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