Based on the table below, the 2-year implied spot rate is closest to: Forward rate 1 year forward rate at time zero (1f0) 1 year forward rate 1 year from now (1f1) 1 year forward rate 2 year from now (1f2) 1 year forward rate 3 year from now (1f3) 1 year forward rate 4 year from now (1f4) Value 0.80% 1.12% 3.94% 3.28% 3.14% All rates are annual rates stated for a periodicity of one (effective annual rates). ○ 1.93% 0.96% ○ 1.31%

Based on the table below, the 2-year implied spot rate is closest to: Forward rate 1 year forward rate at time zero (1f0) 1 year forward rate 1 year from now (1f1) 1 year forward rate 2 year from now (1f2) 1 year forward rate 3 year from now (1f3) 1 year forward rate 4 year from now (1f4) Value 0.80% 1.12% 3.94% 3.28% 3.14% All rates are annual rates stated for a periodicity of one (effective annual rates). ○ 1.93% 0.96% ○ 1.31%

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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QUESTION 1 Suppose that the current one-year rate and expected one-year T-bill rates over the following three years (i.e., years 2, 3, and 4, respectively) are as follows: IRI-2.47%, E(2rl)-3.11%, E(3rl)-4.23%, E(4rl)-5.18% Using the unbiased expectations theory, calculate the current rate for three-year- maturity Treasury securities (Write your answer in percentage not decimal for example 5.78%) current rate for three-year-maturity = 3.27%
TERM STRUCTURE Using Pure Expectations theory to predict future rates: I ■ Suppose: 1¹₁= 1%, 1¹₂= 2%, 113= 3% What does that imply about the 1-year forward rate in 2 years (f₁), and the 2-year forward rate in 1 year (₂f₂)?
Unbiased Expectations Theory Suppose that the current one-year rate (one-year spot rate) and expected one-year T-bill rates over the following three years (i.e., years 2, 3, and 4, respectively) are as follows 1R1=4.85%, E(2r1) =5.85%, E(3r1) =6.35%, E(4r1)=6.70% Using the unbiased expectations theory, what is the current (long-term) rate for four-year-maturity Treasury securities?
2. An analyst is given the following effective annual rates: 3-year spot rate = 4% 5-year spot rate = 5% 4-year forward rate 3 years from today = 6% 3-year forward rate 7 years from today = 7% Find the 2-year forward rate 5 years from today? (1 + y )ª®1 + ³ = (1 + y ₂)²1 + ²√³ (1 + 4%) *(1 + 6%) ª = (1 + 5%) ²1 + ³ ⇒ f = 5.48%
Suppose that the current one-year rate (one- year spot rate) and expected one-year T-bill rates over the following three years (i.e., years 2, 3, and 4, respectively) are as follows: 1R1=6%, E(2r1) =7%, E(3r1) =7.5% E(4r1)=7.85% 1 Using the unbiased expectations theory, calculate the current (long-term) rates for one-, two-, three-, and four-year-maturity Treasury securities. Show your answers in percentage form to 3 decimal places.
Please calculate the forward rate between the two given spot rates. (ex: if you have a 1y spot and a 5y spot, you are calculating the 4y forward) 1 year spot of 3.1% 10 year spot of 5.7% ** ** Enter full (values rather than decimals. ex: enter 0.0325 as 3.25 *
Suppose that the current 1-year rate (1-year spot rate) and expected 1-year T-bill rates over the following three years (i.e., years 2, 3, and 4, respectively) are as follows:1R1 = 2.78%, E(2r1) = 4.10%, E(3r1) = 4.60%, E(4r1) = 6.10%Using the unbiased expectations theory, calculate the current (long-term) rates for one-, two-, three-, and four-year-maturity Treasury securities. (Do not round intermediate calculations. Round your answers to 2 decimal places.) Year Current (Long-Term) Rates 1 _____.__% 2 _____.__% 3 _____.__% 4 _____.__%
Suppose that the current 1-year rate (1-year spot rate) and expected 1-year T-bill rates over the following three years (i.e., years 2, 3, and 4, respectively) are as follows: 1R1 9%, E(21) = 10%, E31) = 10.60%, E(41) = 10.95% Using the unbiased expectations theory, calculate the current (long-term) rates for one-, two-, three-, and four-year-maturity Treasury securities. Note: Round your percentage answers to 2 decimal places (i.e., 0.1234 should be entered as 12.34). Years Current (Long-term) Rates 1 % 2 % 3 % 4 %
Suppose that the current 1-year rate ( 1-year spot rate) and expected 1-year T-bill rates over the following three years (i.e years 2,3, and 4 respectively) as follows: 1R1=3.22%, E(2r1)=4.65%,E(3r1)=5.15%,E(4r1)=6.65% Using the unbiased expectations theory, calculate the current (long-term) for one-, two-, three-, and four- year- maturity treasury securities. ( Round your answers to 2 decimal places.)
Suppose that the current 1-year rate (1-year spot rate) and expected 1-year T-bill rates over the following three years (i.e., years 2, 3, and 4, respectively) are as follows:1R1 = 2.50%, E(2r1) = 3.75%, E(3r1) = 4.25%, E(4r1) = 5.75% Using the unbiased expectations theory, calculate the current (long-term) rates for 1-, 2-, 3-, and 4-year-maturity Treasury securities
Suppose that the current 1-year rate (1-year spot rate) and expected 1-year T-bill rates over the following three years (i.e.. years 2, 3, and 4, respectively) are as follows: 1R1 = 6%, E(21) = 7%, Bar1) = 7.5 %, Bar) = 7.85% Using the unbiased expectations theory, calculate the current (long-term) rates for one-, two, three-, and four-year-maturity Treasury securities. (Round your answers to 2 decimal places.) Year 1 2 3 4 Current (Long-term) Rates
Suppose that the current one-year rate (one-year spot rate) and expected one-year T-bill rates over. the following three years (i.e., years 2, 3, and 4, respectively) are as follows: 1R1 = 0.4%, E(2r 1) = 1.4%, E(3r1) = 8.6%, E(4r1) = 8.958 Using the unbiased expectations theory, calculate the current (long-term) rates for one-, two-, three-, and four-year-maturity Treasury securities. (Round your percentage answers to 3 decimal places. (e.g., 32.161)) Current (Long-Term) Rates One-year :% Two-year % Three-year % Four-year

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