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

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ADM 3351 B Midterm Exam Winter 2007 (1 hour 20 minutes) Dr. C. Guo Name (print legibly) __________________________________ Student Number __________________________________ Closed-book exam. No material of any kind is allowed. A calculator is required. The formula page can be detached and need not submit. Statement of Academic Integrity The School of Management does not condone academic fraud, an act by a student that may result in a false academic evaluation of that student or of another student. Without limiting the generality of this definition, academic fraud occurs when a student commits any of the following offences: plagiarism or cheating of any kind, use of books, notes, mathematical tables, dictionaries or other study aid unless an explicit written note to the contrary appears on the exam, to have in his/her possession cameras, radios (radios with head sets), tape recorders, pagers, cell phones, or any other communication device which has not been previously authorized in writing. Statement to be signed by the student: I have read the text on academic integrity and I pledge not to have committed or attempted to commit academic fraud in this examination. Signed:______________________________________ Note: an examination copy or booklet without that signed statement will not be graded and will receive a final exam grade of zero. Evaluation Question Credit Mark 1 6 2 6 3 6 4 7 5 5 6 5 Total 35
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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
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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.

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

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