actsc231A5 - book value on January 1 2012(5 A 20-year bond...

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ACTSC231 ASSIGNMENT 5. DUE ON TUESDAY, JULY,12, BEFORE CLASS Assignment: (1) Page 294: 6.7.2, 6.7.4, 6.8.2, 6.8.4, 6.8.6, chapter 6 review 2, 4, 6 (2) A 30-year bond has 9% annual coupons and a face value of $1,000. It is redeemed at par. Coupons are reinvested at nominal rate of 6% convertible semi-annually. Find the bond price P such that the overall yield for the investor is 10% effective per year. (3) A $1,000 bond with a coupon rate of 9% per year payable semiannually is redeemed at $1,125 after an unspecified number of years. The yield of this bond is 10% convertible semiannually. If the present value of the redemption value is $225 at this yield rate, find the bond price. (4) A $1,000 bond with a coupon rate of 6% per year payable semiannually is redeemed at par on July 1, 2017. Its purchase price on July 1, 2009 is 1015.85. Find its
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Unformatted text preview: book value on January 1, 2012. (5) A 20-year bond has 8% coupon payable semiannually with a face value of $100. It is issued on January 15, 2000. On April 1, 2005, Aaron purchased this bond with a quoted price $112.225 which is calculated by a semi-theoretical method. Use an exact day count, then find (a) on April 1, 2005, the elapsed time after the last coupon payment, (b) the accrued coupon, and (c) dirty price (exact price) of the bond on April 1, 2005. (6) From Problem 5, assume a nominal rate of interest 6% convertible semiannually. Then, find the bond prices on January 15, 2005 and on July 15, 2005 respectively. The following are for your practice, not as assignments. 6.7.1, 6.7.3, 6.7.5, 6.8.3, 6.8.5, 6.8.7, chapter review 1, 3 1...
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This note was uploaded on 11/21/2011 for the course MATH ACTSC 231 taught by Professor Zhou during the Spring '10 term at Waterloo.

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