CH05 - CHAPTER 5 3. Find the prices of the following...

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CHAPTER 5 3. Find the prices of the following Treasury bills per dollar of par: (a) 40 days, discount rate of 6 percent (b) 90 days, discount rate of 12 percent (c) 80 days, discount rate of 8 percent (d) 92 days, discount rate of 7 percent. - = 360 rate(Time) Discount 1 par Price a. 33 . 99 360 ) 40 ( 06 . 0 1 100 P = - = b. 00 . 97 360 ) 90 ( 12 . 0 1 100 P = - = c. 22 . 98 360 ) 80 ( 08 . 0 1 100 P = - = d. 21 . 98 360 ) 92 ( 07 . 0 1 100 P = - = 4. In problem 3, find the add-on interest rates, bond equivalent yields, semiannual, and annual yields to maturity. Add-on rate = 360 ) t ( d 1 d - Bond equivalent yield = r = a 360 365 Semiannual YTM = i = 2 P par 2 ) t 2 / 365 ( - Annual YTM = Y = 1 P par ) t / 365 ( - a. 0604 . 0 360 40 ) 06 . 0 ( 1 06 . 0 a = - =
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0612 . 0 ) 0604 . 0 ( 360 365 r = = 0620 . 0 2 33 . 99 100 2 i ) 40 ( 2 / 365 = - = 0629 . 0 1 33 . 99 100 y 40 / 365 = - = b. 1237
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This note was uploaded on 06/07/2011 for the course FIN 4243 taught by Professor Dudley during the Spring '08 term at University of Florida.

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CH05 - CHAPTER 5 3. Find the prices of the following...

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