875 14250 6375 6250 5250 maturity 81501 21502 81502

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Unformatted text preview: 2/15/2001 Settlement: Coupon 7.875 14.250 6.375 6.250 5.250 Maturity 8/15/01 2/15/02 8/15/02 2/15/03 8/15/03 Fixed Income III: R. J. Hawkins Price 101-12 3⁄4 108-31+ 102-5 102-18 1⁄8 100-27 Econ 136: Financial Economics 6/ 24 The Term Structure of Interest Rates We begin with bond prices. Prices are quoted as a percent of the face value. The numbers after the hyphens are 32nds, or ticks. A “+” denotes a half a tick. 101-12 3⁄4 = 101 + 12.75/32 = 101.3984 Treasury Bond Prices for 02/15/2001 Settlement: Coupon 7.875 14.250 6.375 6.250 5.250 Maturity 8/15/01 2/15/02 8/15/02 2/15/03 8/15/03 Fixed Income III: R. J. Hawkins Price 101-12 3⁄4 101.3984 108-31+ 108.9844 102-5 102.1563 102-18 1⁄8 102.5664 100-27 100.8438 Econ 136: Financial Economics 7/ 24 The Term Structure of Interest Rates From prices (PVs) and cash flows (FVs) we calculate discount factors (DFs). Tenor 0.5 1.0 1.5 2.0 2.5 8/15/01 103.9375 2/15/02 7.125 107.125 Bond Price = N −1 i =1 8/15/02 3.1875 3.1875 103.1875 2/15/03...
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This note was uploaded on 01/23/2014 for the course ECON 136 taught by Professor Szeidl during the Fall '08 term at University of California, Berkeley.

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