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Unformatted text preview: October 27, 2015 6. You are given the following yield curve: Term (t) Spot Rate 1 0.060 2 0.065 3 0.069 4 0.072 Calculate the 1 year deferred 3 year forward rate f (1,4) . 7. You are given the following two bonds: Term Annual Coupon Maturity Value Price 1 60 1000 1000.00 2 80 1000 1055.06 Calculate the 2 year spot interest rate. 8. You are given the following spot yield curve: t t r 1 4.0% 2 3.5% 3 3 r 4 4 r The present value of a four year annuity due of 100 is 379.05. The price of a 4 year bond with a maturity value of 2000 and annual coupons of 50 is 1875.12. Calculate the three year deferred one year forward interest rate. October 27, 2015 Answers 1. 10,688.99 2. 19,130.16 3. 344,631.86 4. 3178.90 5. 5.88% 6. 7.603% 7. 5.0% 8. 5.77%...
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 Spring '08
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 Math, Finance, 1.5%, 1.0%, spot yield curve

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