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Chapter_05A

# Chapter_05A - 4.00 Two-year spot rate 5.50 Three-year spot...

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Chapter 5, Appe Problems 1-6 Input boxes in tan Output boxes in yellow Given data in blue Calculations in red Answers in green NOTE: Some functions used in these spreadsheets may require that the "Analysis ToolPak" or "Solver Add-in" be installed in Excel. To install these, click on "Tools|Add-Ins" and select "Analysis ToolPak and "Solver Add-In."

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Chapter 5, Appendix Question 1 Input area: One-year spot rate 8.00% Two-year spot rate 10.00% Coupon rate on two year bond 6.00% Output area: a. Price \$931.59 b. YTM 9.94%

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Chapter 5, Appendix Question 2 Input area: One-year spot rate 11.00% Two-year spot rate 8.00% Coupon rate on two year bond 5.00% Output area: Price \$945.25
Chapter 5, Appendix Question 3 Input area: One-year spot rate 7.00% Two-year spot rate 8.50% Output area: One-year forward rate over Year 2 10.02%

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Chapter 5, Appendix Question 4 Input area: One-year spot rate

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Unformatted text preview: 4.00% Two-year spot rate 5.50% Three-year spot rate 6.50% Output area: a. One-year forward rate over Year 2 7.02% b. One-year forward rate over Year 3 8.53% Chapter 5, Appendix Question 5 Input area: One-year forward rate 4.50% Two-year forward rate 6.00% Output area: One-year spot rate 4.50% Two-year spot rate 5.25% Chapter 5, Appendix Question 6 Output area: Based upon the expectation, hypothe That is, if the expected spot rate for 2 (1 + f 1 ) (1 + f 2 ) = (1 + r 2 ) 2 forward rates. If the spot rate in year If the spot rate in year 2 is lower than eses, strategy 1 and strategy 2 will be in equilibrium at: 2 years is equal to the product of successive one-year r 2 is higher than implied by f 2 then strategy 1 is best. n implied by f 2 , strategy 1 is best....
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Chapter_05A - 4.00 Two-year spot rate 5.50 Three-year spot...

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