Yield to maturities, par values and market prices for government securities (with semi-annual interests) are given in the following table: Maturity (Years) Yield to maturity Par Value (K) Market Price (K) 0.5 6.0% 100 97.09 1 7.0% 100 93.35 1.5 9.0% 100 87.62 2 8.0% 100 85.48 Assuming that the yields to maturities are equal to the coupon rates, calculate the spot rates for 0.5 year, 1 year, 1.5 years and 2 years.
Yield to maturities, par values and market prices for government securities (with semi-annual interests) are given in the following table: Maturity (Years) Yield to maturity Par Value (K) Market Price (K) 0.5 6.0% 100 97.09 1 7.0% 100 93.35 1.5 9.0% 100 87.62 2 8.0% 100 85.48 Assuming that the yields to maturities are equal to the coupon rates, calculate the spot rates for 0.5 year, 1 year, 1.5 years and 2 years.
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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Yield to maturities, par values and market prices for government securities (with semi-annual interests) are given in the following table:
|
Maturity (Years) |
Yield to maturity |
Par Value (K) |
Market Price (K) |
|
0.5 |
6.0% |
100 |
97.09 |
|
1 |
7.0% |
100 |
93.35 |
|
1.5 |
9.0% |
100 |
87.62 |
|
2 |
8.0% |
100 |
85.48 |
Assuming that the yields to maturities are equal to the coupon rates, calculate the spot rates for 0.5 year, 1 year, 1.5 years and 2 years.
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