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HW-1037 yield
The following table gives the prices of bonds
Bond Principal ($) Time to Maturity (yrs) Annual Coupon ($)* Bond Price ($)
100 0.5 0.0 98
100 1.0 0.0 95
100 1.5 6.2 101
100 2.0 8.0 104
*Half the stated coupon is paid every six months
a) Calculate zero rates for maturities of 6 months, 12 months, 18 months, and 24 months.
b) What are the forward rates for the periods: 6 months to 12 months, 12 months to 18 months, 18 months to 24 months?
c) What are the 6-month, 12-month, 18-month, and 24-month par yields for bonds that provide semiannual coupon payments?
d) Estimate the price and yield of a two-year bond providing a semiannual coupon of 7% per annum.
Answer will be sent by email as attachment.
Bond Principal ($) Time to Maturity (yrs) Annual Coupon ($)* Bond Price ($)
100 0.5 0.0 98
100 1.0 0.0 95
100 1.5 6.2 101
100 2.0 8.0 104
*Half the stated coupon is paid every six months
a) Calculate zero rates for maturities of 6 months, 12 months, 18 months, and 24 months.
b) What are the forward rates for the periods: 6 months to 12 months, 12 months to 18 months, 18 months to 24 months?
c) What are the 6-month, 12-month, 18-month, and 24-month par yields for bonds that provide semiannual coupon payments?
d) Estimate the price and yield of a two-year bond providing a semiannual coupon of 7% per annum.
Answer will be sent by email as attachment.
