consider a 6 month forwardcontract on a zero - couponbond. the current bond price issh 200 and risk free rate is 8% p.a. what is the no - arbitrageforward price
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consider a 6 month forwardcontract on a zero - couponbond. the current
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- Suppose you are given the following information about the default-free, coupon-paying yield curve: Maturity (years) Coupon rate (annual payment) YTM 1 0.00% 2.587% a. Use arbitrage to determine the yield to maturity of a two-year zero-coupon bond. b. What is the zero-coupon yield curve for years 1 through 4? Note: Assume annual compounding. 2 11.00% 4.008% a. Use arbitrage to determine the yield to maturity of a two-year zero-coupon bond. The yield to maturity of a two-year, zero-coupon bond is %. (Round to two decimal places.) b. What is the zero-coupon yield curve for years 1 through 4? The yield to maturity for the three-year and four-year zero-coupon bond is found in the same manner as the two-year zero-coupon bond. The yield to maturity on the three-year, zero-coupon bond is %. (Round to two decimal places.) The yield to maturity on the four-year, zero-coupon bond is %. (Round to two decimal places.) Which graph best depicts the yield curve of the zero-coupon bonds? (Select the…Suppose the continuous forward rate is r(t) = 0.04 + 0.001t when a 8 year zero coupon bond is purchased. Six months later the forward rate is r(t) = 0.03 + 0.0013t and bond is sold. What is the return?Assume the zero-coupon yields on default-free securities are as summarized in the following table: (Click on the following icon in order to copy its contents into a spreadsheet.) Maturity (years) Zero-coupon YTM 1 5.20% 2 5.70% 3 6.00% 4 6.30% 5 6.40% What is the price of a three-year, default-free security with a face value of $1,000 and an annual coupon rate of 2%? What is the yield to maturity for this bond? What is the price of a three-year, default-free security with a face value of $1,000 and an annual coupon rate of 2%? The price is $ (Round to the nearest cent.)
- Consider the coupon bond issued by XYZinc Term:3years Payment:175 Facevalue:500 Currently the prevailing risk free rate is 0.03 and the market places a risk premium on XYZ inc bonds of 0.01. suppose the risk free rate decreases by 0.03.compute the change in the bond price.Suppose you are given the following information about the default-free, coupon-paying yield curve: Maturity (years) 1 Coupon rate (annual payments) 0.00 YTM 2.000% 2 10.00 3.908% Show your work in Excel Solution. 3 6.00 5.840% 4 12.00 5.783% a. Use arbitrage to determine the yield to maturity of a two-year, zero- coupon bond. b. What is the zero-coupon yield curve for years 1 through 4?Suppose you purchase a $1000 Face-Value Zero-Coupon Bond with maturity 30 years and yield to maturity 4% quoted with annual compounding. Show the bond cash flows on a time line and compute the current price of the bond Draw a graph to illustrate how the price of this bond will change as it gets closer to maturity – Price (on y axis) vs Time (on x axis). Why is a zero-coupon bond more sensitive to interest rate changes than similar coupon bearing bonds (2 or 3 sentences)?
- Consider the following pure discount bonds with face value $1,000: Maturity Price 1 952.38 2 898.47 3 847.62 4 799.64 5 754.38 Suppose now that the current one-period interest rate is 5% and that the markets expects future one period interest rates to decline by %0.5 per year.(a). Assume first that the liquidity premium is constant at 1%. Draw a graph with the spot yield curve, the forward rates curve and a curve showing expected future one-period interest rates.(b). Assume next that the liquidity premium increases by 0.5% per year from initially being 1%. Draw a graph with the spot yield curve, the forward rates curve and a curve showing expected future one-period interest rates.Consider the following coupon bond issued by XYZ.inc Term: 3 years Payment: 75 Face Value: 1,000 Currently the prevailing risk free rate is 0.02 and the market places a risk premium on XYZ.inc bonds of 0.02 Suppose the risk premium decreases by 0.02 Compute the change in the bond price. Record your unitless answer to the nearest cent. Your Answer:The current zero-coupon yield curve for risk-free bonds is as follows: coupon, risk-free bond? . What is the price per $100 face value of a two-year, zero- The price per $100 face value of the two-year, zero-coupon, risk-free bond is $ (Round to the nearest cent.) Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Maturity (years) 1 2 3 YTM 4.95% 5.49% 5.76% 4 5.97% 5 6.09% Print Done -
- Suppose the 1-year spot rate is 0.8%, and that a 2-year 1.5% annual coupon, a 3-year 2% annual coupon bonds are trading at par ($100). Calibrate a 2-year binomial interest rate model, assuming that interest rate volatility ?σ is 10%. What is the lowest rate at t=2?Consider the following pure discount bonds with face value $1,000: Maturity Price 1 952.38 2 898.47 3 847.62 4 799.64 5 754.38 a). Find the spot rates and draw a yield curve.b). Assume that there is a constant liquidty premium that is equal to 1% across all maturities. Find the forward rates and the expected one period future interest rates.If you have a coupon bond, its face value is $1,000 and the coupon rate is 4%. Complete the following table, then calculate the rate of return for the bond. If you know that it was purchased at the nominal value, comment on the results. due date return at maturity the price 2 0.02 3 0.04 5 0.06 Present Value Annuity value % n value % n 0.961 0.02 2 1.97 0.02 2 0.925 0.04 2 1.89 0.04 2 0.889 0.04 3 2.78 0.04 3 0.906 0.02 5 4.71 0.02 5 0.747 0.06 5 4.21 0.06 5