Homework11 - 5.535553123 42.53766359 4 50 5.25 40.74568152...

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11 th Home Assignment 1. AAA Bond Pay-off Year Cash Flow Discount Rate Present Value YTM YTM_Present Value 1 50 3 48.54368932 5.024498332 47.60793986 2 50 3.6 46.5854713 5.024498332 45.33031875 3 50 4.17 44.23255354 5.024498332 43.16166177 4 50 4.73 41.56096188 5.024498332 41.09675595 5 1050 5.12 818.0173932 5.024498332 821.743392 Bond Price: 998.9400692 Fitted Bond Price: 998.9400683 Difference: 3.87562E-05 2. BBB Bond Pay-off Year Cash Flow Discount Rate Present Value YTM YTM_Present Value 1 50 3.72 48.20671037 5.535553123 47.37739891 2 50 4.1 46.13903907 5.535553123 44.89235856 3 50 4.67 43.6016909
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Unformatted text preview: 5.535553123 42.53766359 4 50 5.25 40.74568152 5.535553123 40.30647714 5 1050 5.63 798.4595141 5.535553123 802.0387394 Bond Price: 977.152636 Fitted Bond Price: 977.1526376 Difference: 6.62076E-06 2. AAA Discount Rate 3 3.6 4.17 4.73 5.12 Forward Curve 4.2035 4.76 5.3131 5.6568 5.3194 5.8723 6.1457 6.4281 6.5613 6.6946 BBB Discount Rate 3.72 4.1 4.67 5.25 5.63 Forward Curve 4.4814 5.1483 5.765 6.113 5.8194 6.4127 6.6625 7.0094 7.0865 7.1638 3. Spread = 0.511054791...
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This note was uploaded on 01/27/2011 for the course MGMT 4370 taught by Professor Gupta during the Fall '10 term at Rensselaer Polytechnic Institute.

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Homework11 - 5.535553123 42.53766359 4 50 5.25 40.74568152...

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