Use the table below to price a 2-year bond with face value of $100, a 4% coupon rate and semi-annual coupon frequency? Table 5.2 Forward Rates and Spot Curve on May 5, 2008 Step i 1 2 4 0.7500 1.0000 1.2500 1.5000 1.7500 2.0000 2.2500 2.5000 2.7500 12 3.0000 13 3.2500 14 3.5000 15 3.7500 16 4.0000 17 4.2500 18 4.5000 19 4.7500 Original Data Source: Bloomberg 6 7 Maturity T₁ 8 9 10 0.2500 0.5000 (c.c.) Forward Rate f(0, T₁-1,T.) (%) 2.7605 2.6677 2.8132 3.0088 3.1917 3.3664 3.5501 3.7118 3.8440 3.9700 4.0899 4.1800 4.2474 4.3150 4.3884 4.4466 4.4913 4.5395 4.5953 Discount Z(0,T,) (x100) 99.3123 98.6521 97.9607 97.2267 96.4539 95.6456 94.8005 93.9248 93.0265 92.1078 91.1708 90.2230 89.2701 88.3123 87.3487 86.3830 85.4186 84.4546 83.4900 (c.c.) Spot Rate r(0,T,) (%) 2.7605 2.7141 2.7471 2.8125 2.8884 2.9680 3.0512 3.1338 3.2127 3.2884 3.3613 3.4295 3.4924 3.5512 3.6070 3.6595 3.7084 3.7546 3.7988
Use the table below to price a 2-year bond with face value of $100, a 4% coupon rate and semi-annual coupon frequency? Table 5.2 Forward Rates and Spot Curve on May 5, 2008 Step i 1 2 4 0.7500 1.0000 1.2500 1.5000 1.7500 2.0000 2.2500 2.5000 2.7500 12 3.0000 13 3.2500 14 3.5000 15 3.7500 16 4.0000 17 4.2500 18 4.5000 19 4.7500 Original Data Source: Bloomberg 6 7 Maturity T₁ 8 9 10 0.2500 0.5000 (c.c.) Forward Rate f(0, T₁-1,T.) (%) 2.7605 2.6677 2.8132 3.0088 3.1917 3.3664 3.5501 3.7118 3.8440 3.9700 4.0899 4.1800 4.2474 4.3150 4.3884 4.4466 4.4913 4.5395 4.5953 Discount Z(0,T,) (x100) 99.3123 98.6521 97.9607 97.2267 96.4539 95.6456 94.8005 93.9248 93.0265 92.1078 91.1708 90.2230 89.2701 88.3123 87.3487 86.3830 85.4186 84.4546 83.4900 (c.c.) Spot Rate r(0,T,) (%) 2.7605 2.7141 2.7471 2.8125 2.8884 2.9680 3.0512 3.1338 3.2127 3.2884 3.3613 3.4295 3.4924 3.5512 3.6070 3.6595 3.7084 3.7546 3.7988
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:Use the table below to price a 2-year bond with face value of $100, a 4% coupon rate and semi-annual coupon frequency?
Table 5.2 Forward Rates and Spot Curve on May 5, 2008
Step
i
1
2
3
5
6
7
8
9
212
10
11
Maturity
T₁
0.2500
0.5000
0.7500
1.0000
1.2500
1.5000
1.7500
2.0000
2.2500
2.5000
2.7500
3.0000
3.2500
3.5000
3.7500
13
14
15
16
4.0000
17
4.2500
18
4.5000
19
4.7500
Original Data Source: Bloomberg
(c.c.) Forward Rate
f(0, T-1,T.) (%)
2.7605
2.6677
2.8132
3.0088
3.1917
3.3664
3.5501
3.7118
3.8440
3.9700
4.0899
4.1800
4.2474
4.3150
4.3884
4.4466
4.4913
4.5395
4.5953
Discount
Z(0, T,) (x100)
99.3123
98.6521
97.9607
97.2267
96.4539
95.6456
94.8005
93.9248
93.0265
92.1078
91.1708
90.2230
89.2701
88.3123
87.3487
86.3830
85.4186
84.4546
83.4900
(c.c.) Spot Rate
r(0,T,) (%)
2.7605
2.7141
2.7471
2.8125
2.8884
2.9680
3.0512
3.1338
3.2127
3.2884
3.3613
3.4295
3.4924
3.5512
3.6070
3.6595
3.7084
3.7546
3.7988
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