Construct a theoretical spot yield curve

Reference no: EM131230515

Read first the document "Additional comments on pricing a Bond", then submit an excel file addressing the following elements:

1. Construct a theoretical spot yield curve using a bootstrapping technique and data in excel document "Maturity & YTM for 10 Hypothetical European Treasury securities 2016"

2. Using the resulting curve, price a 5 year, 3%pa coupon bond (semi- annual coupons), requiring a European Treasury + 400 basis points discount rate.

3. What is the implied YTM for such bond?

Attachment:- Assignment.rar

Reference no: EM131230515

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len1230515

10/4/2016 5:15:35 AM

The question is given in file excel, tab "Instruction" and answer is to be provided in the tab "Answer Here". Please look at the example in the tab "Example". You will need to prepare an excel similar to that shown in the tab "Example" to solve this. Go through the file "Additional Comments" to understand the concept (if needed).

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