W07 Midterm(1)

# W07 Midterm(1) - ADM 3351 B Midterm Exam Winter 2007 (1...

This preview shows pages 1–3. Sign up to view the full content.

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
Question 1 (6 points) An 8% U.S. Treasury bond will mature on June 6, 2021. On February 15, 2007, the yield-to-maturity of the bond is 4.80%. Assume that this bond is fairly priced, i.e., the present value of the cash flows of the bond is equal to the invoice (dirty) price of the bond, what is the quoted price of the bond? Note that U.S. Treasury securities pay semiannual coupon interests. Solution: u=71/182=0.3901 AI= (8/2)*0.3901=1.5604 F=100 n = 29 cash flows P standard = 4*PVIFA(0.024,29)+100/(1.024) 29 = \$133.1539 P invoice = (1.024) 0.3901 *P standard = \$134.3915 AI P P invoice quote - = =134.3915 - 1.5604 = \$132.8311 Last Coupon Date Settle Day # of days since last # of days 12/6/2006 2/15/2007 71 182 Issue Date
This is the end of the preview. Sign up to access the rest of the document.

## This note was uploaded on 04/15/2011 for the course ADM 3351 taught by Professor Guo during the Spring '11 term at University of Ottawa.

### Page1 / 9

W07 Midterm(1) - ADM 3351 B Midterm Exam Winter 2007 (1...

This preview shows document pages 1 - 3. Sign up to view the full document.

View Full Document
Ask a homework question - tutors are online