Compute the zero-volatility spread over treasury spot rate

Assignment Help Financial Management

Reference no: EM131880231

1. Calculate the dirty price and the clean price for a 5% coupon Treasury that pays interest on 2/15 and 8/15 of each year, matures on 8/15/2018 and settles on 9/20/2015. Show all calculations and include six decimal places.

Assume the following Treasury spot rate curve for this problem.

Date Period Years Spot Rate

2/15/2016 1 0.5 2.0000%

8/15/2016 2 1.0 2.0500%

2/15/2017 3 1.5 2.1014%

8/15/2017 4 2.0 2.2043%

2/15/2018 5 2.5 2.2556%

8/15/2018 6 3.0 2.3604%

2. A 90-day Treasury bill is quoted at an asked price of 2.5% (discount basis):

a. Calculate the dollar price

b. Calculate the bond equivalent yield

3. The market price of a 4-year 6% coupon non-Treasury issue is $102.4083.

a. Calculate the current yield

b. Calculate the yield to maturity

c. Compute the zero-volatility spread over the Treasury spot rate.

Assume the following Treasury spot rate curve for this problem:

Period Years to maturity Spot Rate

1 .5 2.00%

2 1.0 2.40%

3 1.5 2.80%

4 2.0 3.40%

5 2.5 4.00%

6 3.0 4.20%

7 3.5 4.40%

8 4.0 4.80%

Reference no: EM131880231

Questions Cloud

For the remainder of her life expectancy : How much money must she accumulate in order to withdraw $70,000 per year for the remainder of her life expectancy?

What is the annual receipt we make : We invest $24,000 for 10 years. We receive $11,000 10 years later. The i is 15% annually. What is the annual receipt we make?

Describe types of psychoanalytic defense mechanisms : Identify the three types of psychoanalytic defense mechanisms that groups use to avoid anxiety. Think about whether or not you have used any of them in group.

Calculate the company growth rate in sales : Calculate the company's growth rate in sales using the constant growth model with annual compounding.

Compute the zero-volatility spread over treasury spot rate : Calculate the dollar price. Calculate the yield to maturity. Compute the zero-volatility spread over the Treasury spot rate.

Should the pricing decisions in argentina be delegated : Imagine you are the marketing manager for a U.S. manufacturer of paper products (including paper plates, paper towels, napkins, toilet paper, and tissues).

Review problem regarding effective communication : Identify a video clip that you believe represents an example of effective communication across a broad spectrum of mediums including face to face, electronic.

How old shall we be when we attain our goal : How old shall we be when we attain our goal?

Identify the types of data that should be collected : Identify the types of data that should be collected. What analyses should be done List the options that Mooreland should consider.

User Account

All Pages