Reference no: EM132818118
1) Zero coupon bond matures in two years, its face value is $1000, It is currently traded at $924.50. What is two year spot rate?
Answer in basis points rounding to a whole, e.g. 3.9456% should be entered as "395", One basis point is equal to 0.01%
2) Zero coupon bond matures in three years, its face value is $1000, Its yield to maturity (YTM) is 1.37% (annual). What is its price?
Round your answer to the cent, e.g. $1000.345 should be entered as "1000.35", YTM and a spot spot rate will be the same in this case.
3) A one year zero coupon bond (ZCB) with face value $100 is priced as $99. A two year ZCB with face value $100 is priced as $98.
A third bond matures in two years, its face value is $1000, It pays fixed $5 coupon annually. The next coupon is in one year.
What is the price of the third bond?
Round your answer to the cent, e.g. $1000.345 should be entered as "1000.35",
A hint: use prices of ZCBs to determine discount factors.
4)A one year spot rate is 1%.
A two year spot rate is 3%.
A bond matures in two years, its face value is $1000, It pays fixed $5 coupon annually. The next coupon is in one year. What is the price of the bond?
Round your answer to the cent, e.g. $1000.345 should be entered as "1000.35", A hint: use spot rates to calculate discount factors of cash flows.
5) A two year zero coupon bond with face value $1000 is priced at $960. Calculate its effective duration using a small step of 1 basis point, i.e. 0.01%, and finite differences approximation of a derivative. Round your answer to two decimal points, e.g. 23.3456 should be entered as "23.35", A hint: calculate the yield to maturity first, which is a spot rate in this case
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: 1) Zero coupon bond matures in two years, its face value is $1000, It is currently traded at $924.50. What is two year spot rate?
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