MA373 F11 Test 3-1 - Math 373 Test 3 Fall 2011 1. You are...

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Math 373 Test 3 Fall 2011 1. You are given the following yield curve: Time Spot Rate 0.5 1.6% 1.0 2.5% 1.5 3.4% 2.0 4.2% 2.5 4.8% 3.0 5.2% 3.5 5.5% 4.0 5.8% Calculate the accumulated value of a three year annuity immediate with annual payments of 1000.
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2. Yifei owns a 30 year bond. The bond has annual coupons of 50 and a maturity value of 1000. Calculate Macaulay duration of this bond at an interest rate of 6%
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3. The preferred stock of PAK Packaging Inc. sells for 215.32 and is expected to produce a yield of 8% compounded quarterly. The stock pays quarterly dividends of D with the next dividend payable in one month. Calculate D.
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James has agreed to pay 100,000 to Jenna at the end of five years. James want to fully immunize his liability by purchasing two zero coupon bonds. One zero coupon bond matures at the end of 3 years. The other zero coupon bond matures at the end of 10 years. The annual effective interest rate is 7.5%. Determine the amount that James should spent to purchase each bond.
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This note was uploaded on 02/05/2012 for the course MA 373 taught by Professor Staff during the Spring '08 term at Purdue University-West Lafayette.

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MA373 F11 Test 3-1 - Math 373 Test 3 Fall 2011 1. You are...

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