This preview shows pages 1–2. Sign up to view the full content.
This preview has intentionally blurred sections. Sign up to view the full version.View Full Document
Unformatted text preview: ActSc 445/845 Spring 2010 Assignment 1 Due Date: May 24, Monday (BEFORE class) 1. (20 points) The following table gives the prices of bonds Bond Time to Annual Bond Principal ($) Maturity (years) Coupon ($) * Price ($) 100 0.50 0.0 99 100 1.00 0.0 96 100 1.50 6.2 100 100 2.00 8.0 105 * Half the stated coupon is assumed to be paid every 6 months For the following calculations, express all the rates as annual rates compounded semi-annually. (a) Calculate spot rates for maturities of 6 months, 12 months, 18 months, and 24 months (b) Compute the forward rates for the periods: 6 months to 12 months, 12 months to 18 months, 18 months to 24 months. (c) Calculate the price and yield of a two-year bond which provides semiannual coupon of 7%. (d) Compute the par yields of the bonds with semiannual coupon payments and with maturities of 6-month, 12-month, 18-month, and 24-month, respectively. (Note: par yield is the coupon rate such that the resulting price of the bond is equal to par.) 2. (15 points) The following table gives the price at different dates for2....
View Full Document
This note was uploaded on 10/19/2010 for the course ACTSC 445 taught by Professor Christianelemieux during the Spring '09 term at Waterloo.
- Spring '09