A 2-year, zero coupon Treasury bond with a maturity value of $1,000 has a price of $873.4387. A 1-year, zero coupon Treasury bond with a maturity value of $1,000 has a price of $938.9671. If the pure expectations theory is correct, for what price should 1-year, zero coupon Treasury bonds sell one year from now? a. $798.89 b. $824.66 c. $852.28 d. $930.23 e. $989.11

Q1) A Zero-Coupon Bond with maturity in 15 years produces a gross yield of 2.5% p.a. effective and has redemption value of £100. Compute the Zero-Coupon Bond's price £ Enter a value correct to 2 decimal places Q2) A Zero-Coupon Bond with face value £100 has 4 years until maturity. The bond is priced at £87. Calculate the yield to maturity % Enter a percentage correct to 2 decimal places.

A6)

8.7. Zero Coupon Bonds You find a zero coupon bond with a par value of $10,000 and 13 years to maturity. If the yield to maturity on this bond is 4.5 percent, what is the dollar price of the bond? Assume semiannual compounding periods.

Duration1. A zero coupon bond with 3 years to maturity has an annualized yield to maturity of 3%. A 3-year maturity annual-pay coupon bond has a face value of $1000 and a 5% coupon rate. The coupon bond is also currently trading at a 3% yield. (a) Please calculate the duration of each bond. Which bond has the lower duration? Provide some intuition for this result. (b) Using the formula that approximates bond price change as a function of its duration, please calculate the approximate price change of both bonds if yields increase from 3% to 4%.

You are given the following prices of zero coupon bonds per $1.00 of maturity value: Term in years 1 2 3 4 Zero-coupon bond prices 0.9852 0.9701 0.9546 0.9388 Determine the one-year forward rate for year 4 (ie, the one-year forward rate deferred for 3 years. a) 1.629% b) 1.526% c) 1.572% d) 1.729% e) 1.683%

4. (i) A forward contract written on a bond has 10 months remaining until maturity. The face value of the bond is $1000, and it pays a 7% coupon every 6 months. The final coupon is due immediately prior to the maturity of the forward. The relevant riskless rate of interest is 5%. If the bond is trading at $1025, calculate the theoretical forward price and initial value of the forward contract and explain the forward pricing relationship. (ii) Provide numerical examples of arbitrage strategies for situations where a broker offers a price above, and below the theoretical forward price.

)A one-year zero-coupon $4750 bond has a price of $4611.65. A two-year zero-coupon $4750 bond has a price of $4434.18. A three-year $2000 6% par-value bond has annual coupons and a price of $2113.20. (a) Find the spot rate r3. Write your answer as a percentage rounded to three points after the decimal. %3D (b) Find the forward rate f1,3). Write your answer as a percentage rounded to three points after the decimal. f1,3 = %3D