Copy of Homework 3 - solution

Copy of Homework 3 - solution - 0.5 2011 Aug 18 0.148...

Info iconThis preview shows pages 1–4. Sign up to view the full content.

View Full Document Right Arrow Icon

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

View Full DocumentRight Arrow Icon

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

View Full DocumentRight Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: 0.5 2011 Aug 18 0.148 0.143-0.013 0.144 Treasury Notes Asked Maturity Coupon Bid Asked Chg Yield 1 2012 Feb 15 1.375 101:01:00 101:02:00 unch. 0.3168 101 2 1010.625 1 1.5 2012 Aug 15 4.375 105:23:00 105:24:00 3 0.5061 105 24 1057.5 1.5 2 2013 Feb 15 3.875 106:06:00 106:07:00 5 0.7283 106 7 1062.188 2 2.5 2013 Aug 15 4.25 107:29:00 107:30:00 5 1.0128 107 30 1079.375 2.5 3 2014 Feb 15 1.25 99:24:00 99:25:00 6 1.3302 99 25 997.8125 3 3.5 2014 Aug 15 4.25 109:09:00 109:10:00 7 1.5002 109 10 1093.125 3.5 4 2015 Feb 15 11.25 136:18:00 136:21:00 9 1.7122 136 21 1366.563 4 4.5 2015 Aug 15 4.25 109:17:00 109:19:00 10 2.0075 109 19 1095.938 4.5 5 2016 Feb 15 4.5 110:18:00 110:19:00 12 2.2431 110 19 1105.938 5 Spot 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5 spot 0.00144 0.003108 0.005281 0.007483 0.010496 0.01339 0.015548 0.018672 0.020893 0.023523 YTM 0.00144 0.003168 0.005061 0.007283 0.010128 0.013302 0.015002 0.017122 0.020075 0.022431 1 6.875 6.875 1006.875 c + fv 1.003108 6.870055 1003.755 P - PV(coup) 1.5 21.875 21.875 21.875 1021.875 c + fv 1.007932 21.85927 21.80721 1013.834 P - PV(coup) 2 19.375 19.375 19.375 19.375 1019.375 c + fv 1.015022 19.36107 19.31496 19.22253 1004.289 P - PV(coup) 2.5 21.25 21.25 21.25 21.25 21.25 1021.25 c + fv 1.026446 21.23472 21.18415 21.08278 20.93551 994.9378 P - PV(coup) 3 6.25 6.25 6.25 6.25 6.25 6.25 1006.25 c + fv 1.040709 6.245505 6.230633 6.200817 6.157504 6.088971 966.8891 P - PV(coup) 3.5 21.25 21.25 21.25 21.25 21.25 21.25 21.25 1021.25 c + fv 1.055483 21.23472 21.18415 21.08278 20.93551 20.7025 20.41878 967.5666 P - PV(coup) 4 56.25 56.25 56.25 56.25 56.25 56.25 56.25 56.25 1056.25 c + fv 1.076808 56.20954 56.0757 55.80735 55.41754 54.80074 54.0497 53.29314 980.9088 P - PV(coup) 4.5 21.25 21.25 21.25 21.25 21.25 21.25 21.25 21.25 21.25 1021.25 c + fv 1.097514 21.23472 21.18415 21.08278 20.93551 20.7025 20.41878 20.13296 19.73426 930.5118 P - PV(coup) 5 22.5 22.5 22.5 22.5 22.5 22.5 22.5 22.5 22.5 22.5 1022.5 c + fv 1.123281 22.48382 22.43028 22.32294 22.16702 21.9203 21.61988 21.31726 20.8951 20.50087 910.28 P - PV(coup) 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5 0.00% 0.50% 1.00% 1.50% 2.00% 2.50% spot YTM date 10-year 1-year dif 1960-01-01 0.0472 0.0503-0.0 31 0.0 92 1960-02-01 0.04 9 0.046-0.0 17 0.0 92 1960-03-01 0.0425 0.0402 0.0 23 0.0 92 1960-04-01 0.0428 0.0404 0.0 24 0.0 92 1960-05-01 0.0435 0.0421 0.0 14 0.0 92 1960-06-01 0.0415 0.03 6 0.0 79 0.0 92 1960-07-01 0.0390 0.0320 0.0 70 0.0 92 1960-08-01 0.0380 0.0295 0.0 85 0.0 92 1960-09-01 0.0380 0.0307 0.0 73 0.0 92 1960-10-01 0.0389 0.0304 0.0 85 0.0 92 1960-1 -01 0.0393 0.0308 0.0 85 0.0 92 1960-12-01 0.0384 0.0286 0.0 98 0.0 92 1961-01-01 0.0384 0.0281 0.0103 0.0 92 1961-02-01 0.0378 0.0293 0.0 85 0.0 92 1961-03-01 0.0374 0.028 0.0 86 0.0 92 1961-04-01 0.0378 0.028 0.0 90 0.0 92 1961-05-01 0.0371 0.0287 0.0 84 0.0 92 1961-06-01 0.038 0.0306 0.0 82 0.0 92 1961-07-01 0.0392 0.0292 0.010 0.0 92 1961-08-01 0.0404 0.0306 0.0 98 0.0 92 1961-09-01 0.0398 0.0306 0.0 92 0.0 92 1961-10-01...
View Full Document

Page1 / 7

Copy of Homework 3 - solution - 0.5 2011 Aug 18 0.148...

This preview shows document pages 1 - 4. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online