Suppose that 6 - month, 12-month, 18 - month, 24 month, and 30 - month zero rates are 4%, 4.2%, 4.4%, 4.6%, and 4.6% per annum with continuous compounding respectively. Estimate the cash price of a bond with a face value of 100 that will mature in 30 months and pays a coupon of 6% per annum semiannually.
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- Suppose that 6-month, 12-month, 18-month, 24-month, and 30-month zero rates are 4%, 4.2%, 4.4%, 4.6%, and 4.7% per annum with continuous compounding respectively. Estimate the cash price of a bond with a face value of 100 that will mature in 30 months and pays a coupon of 5% per annum semiannuallySuppose that the current 6-month, 1-year, 1.5-year and 2-year interest rates are 2.2%,3%, 3.5% and 3.75%, respectively. a) Calculate the prices of 1-year and 2-year Treasury bonds. In each case, assume theface value of £100 and the coupon rate of 5% per annum and that coupons arepaid annually. Assume continuous compounding. b) Calculate the prices of the bonds from a), applying annual discounting. Compareyour results to those obtained in a).Calculate the duration of the following debt security and discuss how duration changes with YTM, maturity, coupon rate and face value. This debt security has a coupon rate of 10% payable semiannually, YTM is 8% per annum, face value of £1,000 and 1 year to maturity.
- The six-month zero rate is 9% per annum with semiannual compounding. The price of a one-year bond that provides a coupon of 6% per annum semiannually is 97. What is the one-year continuously compounded zero rate?The YTM on a six-month Treasury STRIP is 5.8%, and the YTM on a one-year Treasury STRIP is 7.1%. All YTMs are quoted as APRS with semiannual compounding. Given this information, what would be the price of a one-year coupon bond with a coupon rate of 6.8%, semi-annual payments and a face value of $1000? The price of the bond would be $. (Round to two decimal places.)A ten-year bond, with par value equals $1000, pays 10% annually. If similar bonds are currently yielding 6% annually, what is the market value of the bond? Use semi-annual analysis
- The 6-months zero rate is 8% per annum with semi-annual compounding. Currently, a one-year bond with a 10% per annum coupon is trading at 96, with a par value of 100. The coupon is paid semi-annually. Determine the one-year zero rate in terms of semi-annual compounding.The 6-months zero rate is 8.60% per annum with continuous compounding. The price of a one-year bond that provides a coupon of 10% per annum semi-annually is 98. The par value of bond is 100. how do I calculate the one-year zero rate measured in continuous compounding?The 6-month and 1-year zero rates are both 5% per annum. For a bond that has a life of 18 months and pays a coupon of 5% per annum (with semi-annual payments and one having just been made), its price is 99.10. All rates are quoted with continuous compounding. (1) What is the 18-month zero rate? (2) Calculate the forward rate in the second, and third quarters.
- Suppose that 6-month, 12-month, and 18-month zero rates are 5%, 5.8% and 6.4% per annum with continuous compounding, respectively. What is the cash price of a Treasury bond with a principal of $1,000 that will mature in 18months and pays coupon rate of 7% per annum semi-annually? *USE AT LEAST 6 DECIMAL PLACES $959.67 $999.78 $1,000.55 $1,007.43The 3-year, 5-year, and 7-year zero rates are 1%, 2%, and 3%. The rates are given per annum with annual compounding. a) What are the zero-coupon bond prices with maturities of 3 years, 5 years, and 7 years? (Assume that you receive a face value of $100 for each of these bonds on their maturity dates). b) What is the forward rate for an investment initiated 3 years from today and maturing 5 years from today? (Give your answer per annum with continuous compounding)? c) What is the forward rate for an investment initiated 3 years from today and maturing 7 years from today? (Give your answer per annum with annual compounding)?FYI bonds pay $40 in interest every six months and will mature in 10 years. a. Calculate the price if the yield to maturity on the bonds is 7, 8, and 9 percent, respectively. b. Explain the impact on price if the required rate of return decreases.