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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Assume that at time 0 a sum L is lent for a series of n yearly payments. The rth payment, of amount xr, is due at the end of the rth year. Let the effective annual interest rate for the rth year be ir. Give an identity which expresses L in terms of the xr and ir.
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 = 0.3%, E(2r 1) = 1.3%, E(3r1) = 8.9%, E(4r1) = 9.25% Using the unbiased expectations theory, calculate the current (long-term) rates for one-, two-, three-, and four-year-maturity Treasury securities.
None
Suppose the term structure of interest rates is shown below: Term Rate (EAR%) 1 year 5.00% 2 years 3 years 5 years 10 years 20 years 4.50% 4.30% 4.30% 4.25% 4.15% The present value of receiving $1000 per year with certainty at the end of the next three years is closest to:
Calculate the geometric (average) return over the 5-year investment period. Year Price 0 19 1 22 2 20 3 23 4 25 5 27 Round your answer to 4 decimal places. For example, if your answer is 3.205%, then please write down 0.0321.
Suppose that the current 1-year rate (1-year spot rate) and expected 1-year T-bill rates over the following three years (ie.. years 2, 3, and 4, respectively) are as follows: 181 = 4%, E(201) = 5%, E(31) = 5.50 %, E(41) = 5.85% 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.) Years AGN- Current (Long-term) Rates
For each of the following cases, indicate (a) what interest rate columns and (b) what number of periods you would refer to in looking up the future value factor. (1) In Table 1 (future value of 1): Number of Annual Rate Years Invested Compounded Case A 5% 5 Annually Case B 8% 6 Semiannually Case A Case B . (a) % % (2) In Table 2 (future value of an annuity of 1): Annual Rate Number of Years Invested Compounded Case A 6% 9 Annually Case B 8% 5 Semiannually Case A Case B (b) periods periods (a) (b) % periods % periods
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 = 2.62%, E(2r1) = 3.90%, E(3r1) = 4.40%, E(4r1) = 5.90%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.)
following questions: a. What is the mid-rate for each maturity? b. What is the annual forward premium for all maturities? (Click on the icon to import the table into a spreadsheet.) Period spot 1 month 2 months 3 months 6 months 12 months 24 months Period Bid Rate Spot 1.3267 1.3265 1.3263 1.3259 1.3250 1.3228 1.3179 a. What is the mid-rate for each maturity? Calculate the mid-rate for each maturity below: (Round to five decimal places.) Days Forward Ask Rate 0 1.3268 1.3266 1.3264 1.3262 1.3252 1.3233 1.3207 Bid Rate US$/€ 1.3267 Ask Rate US$/€ 1.3268 Mid-rate US$/€
If the compounding frequency is monthly and the discount factor=0.62026, what is the value of the corresponding annual interest rate? What is the corresponding continuous compounding annual interest rate if the discount factor remains at 0.62026?
Suppose today’s LIBOR rates for 1, 2, 3, 4, 5, and 6 months are 1.6%, 1.8%, 2.0%, 2.0%, 1.9%, and 1.6% with continuous compounding. What are the forward rates for future 1-month periods?
3.8 The following table shows the spot rates of interest over a number of horizons: (b) What is the effective rate of interest earned by this annuity-immediate if it were constant through the whole investment period? [Hint: Use the Excel function Rate to compute the rate of interest.] Period of investment (in years) Spot rate (in %) 1 6.00 2 7.00 3 7.75 4 8.25

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