Math 325 - 500
Exam 3 Solutions
Dec. 4, 2009
Explanations are required in order to receive any credit. No explanation, zero points.
1.
(30) A barbell has the following payments at the indicated times. The appropriate discount factors
are also shown in the
Math 325 - 500
Solutions Exam 3
Nov. 30, 2012
1. (50) You have two liabilities: one of $1.00 due two years from now and the second, which
is due 4 years from now is $2.00. You decide to satisfy these liabilities by buying a zero
coupon bond, which matures
Math 325
Solutions to Exam 3
December 3, 2000
1. (40) A U.S. Treasury bond matures on November 15, 2001. The bond is purchased with settlement
on December 16, 2000. The basic data for this bond on the settlement date is shown in the table
below.
Coupon Ra
Math 325
Solutions to Exam 3
November 29, 2001
Following each question is the answer to that question. The details of the
calculations can be found in the Maple worksheet which is at the end of this
solution set.
Bond
B1
B2
Coupon Rate
5.5
5.0
Matures
Dec
Math 325 - 500
Solutions Exam 2
Oct. 30, 2009
Explanations are required in order to receive any credit. No explanation, zero points.
1.
(60) Suppose the six month forward rates are: f1/2 0. 04, f1 0. 04, f3/2 0. 04.
a.
Determine the current price of a cou
Math 325 - 500
Solutions Exam 2
Oct. 26, 2012
1. (25) Gracie makes deposits of $1000 on the last day of each month in an account earning
interest at i(12) = 2%. The rst deposit was Jan 31, 2012 and the last deposit will be Dec.
31, 2032. The accumulated v
Math 325
Solutins to Exam 2
October 26, 2000
1. (15) A U.S. government securities dealer provided the following quotes
on 10/16/00
Coupon Rate
6.75%
Maturity
5/15/04
Bid
100:24
Asked
100:28
A customer purchased $100,000 face value of the security, with se
Math 325
Solutions to Exam 2
October 30, 2001
1. (10) Let a bond have yield to maturity y , and coupon rate R. Suppose
the bond matures in M/2 years. Dene the Macaulay duration of this
bond.
Let F be the face value of the bond. For each k between 1 and M
Math 325 - 500
1.
Solutions Exam 1
Sept 25, 2009
(25) The following table describes two coupon bonds, A and B both of which mature in one year.
Bond Coupon Rate Par Value Present Value
A
8%
1000.00
1,037.60
B
4%
1000.00
998.80
Use this information to dete
Math 325 - 500
Solutions Exam 1
Oct. 1, 2012
1. (10) Dene in words what the following symbols represent, and give a formula for their value.
(a) sn i
This is the nal (future) value, at the time of the nth payment, of a sequence of n
payments of $1 per pay
Math 325
Exam 1 Solutions
September 26, 2000
1. (20) A broker oers you a $10,000 face value Treasury bill with 91
days to maturity at a discount yield of 6.5%.
(a) What is the price of the bill?
The formulas for the discount yield and bond equivalent yiel
Math 325
Solutions to Exam 1
September 27, 2001
1. (20) A broker oers you a $1,000 face value Treasury bill with 183
days to maturity at a bond equivalent yield of 6.0%.
(a) What is the price of the bill?
yb =
6
100
=
P
F P 365
P
t
1000 P 365
P
183
= 970.