A0 Answer to class 6 T bill and Strip example

A0 Answer to class 6 T bill and Strip example - Data on...

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9) Know how to price, Zero’s and T-Bills Data below as of 7-7-2011 a. T-bill ydb = (F-P)/F *360/dtm; ytm = (F-P)/P*365/dtm Maturity Bid Asked Chg Asked yield 5/3/2012 0.135 0.130 -0.0100 0.1320 First using the ydb formula, calculating dtm = 301 gives: .0013 = (100-P)/100 *360/301 => P = 99.8913 Substituting this value for P in the YTM formula gives: Ytm = (100-99.8913)/99.8913 * 365/301 => ytm = .1319 rounded to .132 Verifying the asked yield for the TBill
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Unformatted text preview: Data on Zero’s or Treasury Strips Maturity Bid Asked Chg Asked yield 2039 Aug 15 27.081 27.091-0.029 4.70 First determine the n= years to maturity from 7-7-2011 to 8-15-3039 then use your calculator to solve for i with pmt = 0 and data given above. n = 28 + 39/365 yrs = 28.107 yrs. (Keep calc set to 2 pmt/year) PV = 27.091; FV = 100; pmt = 0; => i = 4.701 =4.70...
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This note was uploaded on 02/22/2012 for the course MANEC 453 taught by Professor Jerrynelson during the Winter '10 term at BYU.

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