Homework3b

Bond Markets, Analysis and Strategies (6th Edition)

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1) VARIABLES Yr YTM Spot Rate (ZCB) Exponent PMT Solving period Denom PV Sum Par minus Sum Par plus PMT (Par plus PMT)/(Par-Sum) to the n power minus 1 doubled 0.5 5.25 5.25% 1 4.13 13 1.026 4.019 39.724 60.276 104.125 1.727 1.043 0.043 0.09 1 5.5 5.50% 2 1.056 3.907 1.5 5.75 5.76% 3 1.089 3.788 a) 2 6 6.02% 4 1.126 3.664 2.5 6.25 6.28% 5 1.167 3.534 3 6.5 6.55% 6 1.213 3.400 3.5 6.75 6.82% 7 1.265 3.262 4 7 7.10% 8 1.322 3.120 4.5 7.25 7.38% 9 1.386 2.977 5 7.5 7.67% 10 1.457 2.831 5.5 7.75 7.97% 11 1.537 2.684 6 8 8.27%
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Unformatted text preview: 12 1.626 2.537 6.5 8.25 13 7 8.5 14 7.5 8.75 15 8 9 16 8.5 9.25 17 9 9.5 18 9.5 9.75 19 10 10 20 b) The price of a 6yr @ 6% is: n 12 n 12 coupon 0.06 coupon 0.06 pmt 3 pmt 3 yield to mat. 0.08 yield 0.08 fv 103 fv 103 pv $92.49 pv $91.28 c) What is the six month forward rate starting in the sixth year? 8.27% However, what should the price be? (spot rates)...
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This document was uploaded on 04/07/2008.

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