Suppose that the continuously compounded zero rates are listed in the table below: Maturity (Months) Zero Rate (%) 6 2 12 2.8 18 3.3 24 3.6 30 4.4 Estimate the price of a bond with a face value of $100 that will mature in 30 months and pays a coupon of 6% per annum semiannually. (Required precision: 0.01 +/- 0.01)
Suppose that the continuously compounded zero rates are listed in the table below: Maturity (Months) Zero Rate (%) 6 2 12 2.8 18 3.3 24 3.6 30 4.4 Estimate the price of a bond with a face value of $100 that will mature in 30 months and pays a coupon of 6% per annum semiannually. (Required precision: 0.01 +/- 0.01)
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 continuously compounded zero rates are listed in the table below:
Maturity (Months) |
Zero Rate (%) |
6 | 2 |
12 | 2.8 |
18 | 3.3 |
24 | 3.6 |
30 | 4.4 |
Estimate the price of a bond with a face value of $100 that will mature in 30 months and pays a coupon of 6% per annum semiannually.
(Required precision: 0.01 +/- 0.01)
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