Group03-HW2 - Bond A Bond B Coupon $20 $90 Maturity 90 20...

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Unformatted text preview: Bond A Bond B Coupon $20 $90 Maturity 90 20 Market Yield 8.00% **Corresponding data found below Yield Price A Price B Tangent A Tangent B 0% 2800.00 2800.00 658.79 1948.80 1% 1591.61 2443.64 607.78 1842.47 2% 1000.00 2144.60 556.78 1736.15 3% 689.98 1892.65 505.77 1629.82 4% 514.65 1679.52 454.76 1523.49 5% 407.43 1498.49 403.76 1417.16 6% 336.85 1344.10 352.75 1310.84 7% 287.33 1211.88 301.74 1204.51 8% 250.74 1098.18 250.74 1098.18 9% 222.56 1000.00 199.73 991.85 10% 200.15 914.86 148.72 885.53 11% 181.89 840.73 97.72 779.20 12% 166.70 775.92 46.71 672.87 13% 153.86 719.01-4.30 566.54 14% 142.86 668.84-55.30 460.22 15% 133.34 624.44-106.31 353.89 16% 125.00 584.98-157.32 247.56 17% 117.65 549.78-208.32 141.23 18% 111.11 518.25-259.33 34.91 19% 105.26 489.91-310.34-71.42 20% 100.00 464.35-361.34-177.75 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% 12% 13% 14% 15% 16% 17% 18% 19% 20%-1000.00-500.00 0.00 500.00 1000.00 1500.00 2000.00 2500.00 3000.00 Price to Yield Price A Price B Column H Column I Yield Price Interest Rates 3 Month Treasury Bill 0.05% 6 Month Treasury Bill 0.11% 1 Year Treasury Bill 0.24% 2 Year Treasury Note 0.78% 3 Year Treasury Note 1.27% 5 Year Treasury Note 2.24% 10 Year Treasury Note 3.52% 30 Year Treasury Bond 4.61% **Information Obtained from WSJ Period Year Interpolation Method Discount Sum Bootstrapping MethoForward Rates 1 0.5 0.11% 0.998911187 0.109% 2 1 0.24% 1.994085792 0.242% 0.38% 3 1.5 0.51% 2.978862484 0.513% 1.05% 4 2 0.78% 3.948125759 0.784% 1.60% 5 2.5 1.02% 4.898338507 1.027% 2.00% 6 3 1.27% 5.825413706 1.270% 2.49% 7 3.5 1.51% 6.725559292 1.514% 2.99% 8 4 1.75% 7.595378100 1.759% 3.48% 9 4.5 1.99% 8.431879791 2.003% 3.97% 10 5 2.24% 9.232507426 2.248% 4.47% 11 5.5 2.36% 10.004654377 2.379% 3.68% 12 6 2.49% 10.747449852 2.509% 3.95% 13 6.5 2.62% 11.460203568 2.639% 4.21% 14 7 2.75% 12.142403588 2.769% 4.47% 15 7.5 2.88% 12.793712474 2.900% 4.73% 16 8 3.01% 13.413961884 3.030% 5.00% 17 8.5 3.14% 14.003145738 3.161% 5.26% 18 9 3.26% 14.561412114 3.291% 5.53% 19 9.5 3.39% 15.089054043 3.422% 5.79% 20 10 3.52% 15.586499370 3.553% 6.05% 21 10.5 3.55% 16.064200453 3.581% 4.13% 22 11 3.58% 16.522697297 3.608% 4.19% 23 11.5 3.60% 16.962528233 3.636% 4.24% 24 12 3.63% 17.384229144 3.663% 4.30% 25 12.5 3.66% 17.788332723 3.691% 4.35% 26 13 3.68% 18.175367769 3.718% 4.41% 27 13.5 3.71% 18.545858518 3.746% 4.46% 28 14 3.74% 18.900324020 3.774% 4.52% 29 14.5 3.77% 19.239277544 3.801% 4.57% 30 15 3.79% 19.563226030 3.829% 4.63% 31 15.5 3.82% 19.872669570 3.856% 4.69% 32 16 3.85% 20.168100933 3.884% 4.74% 33 16.5 3.87% 20.450005126 3.911% 4.80% 34 17 3.90% 20.718858985 3.939% 4.85% 35 17.5 3.93% 20.975130812 3.967% 4.91% 36 18 3.96% 21.219280036 3.994% 4.96% 37 18.5 3.98% 21.451756920 4.022% 5.02% 38 19 4.01% 21.673002289 4.050% 5.07% 39 19.5 4.04% 21.883447299 4.077% 5.13% 40 20 4.06% 22.083513239 4.105% 5.19% 41 20.5 4.09% 22.273611352 4.132% 5.24% 42 21 4.12% 22.454142699 4.160% 5.30% 43 21.5 4.14% 22.625498045 4.188% 5.35% 44 22...
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Group03-HW2 - Bond A Bond B Coupon $20 $90 Maturity 90 20...

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