PRIN.OF CORPORATE FINANCE
13th Edition
ISBN: 9781260013900
Author: BREALEY
Publisher: RENT MCG
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Chapter 26, Problem 9PS
Futures prices Calculate the value of a six-month futures contract on a Treasury bond. You have the following information:
- Six-month interest rate: 10% per year, or 4.9% for six months.
- Spot price of bond: 95.
- The bond pays an 8% coupon, 4% every six months.
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A 10-year bond with a face value of $1,000 has a coupon rate of 9.0%, with semiannual payments.
a. What is the coupon payment for this bond?
b. Enter the cash flows for the bond on a timeline.
a. What is the coupon payment for this bond?
The coupon payment for this bond is $
every six months. (Round to the nearest cent.)
Calculate the value of a six-month futures contract on a Treasury bond. You have the following information: Note: Do not round intermediate calculations. Round your answer to 3 decimal places. Six-month interest rate: 9% per year, or 4.40% for six months. Spot price of bond: 93.00. The bond pays a 7% coupon, 3.50% every six months.
Consider a bond (with par value = $1,000) paying a coupon rate of 10% per year semiannually when the market interest
rate is only 4% per half-year. The bond has three years until maturity.
Required:
a. Find the bond's price today and six months from now after the next coupon is paid.
b. What is the total (6-month) rate of return on the bond?
Complete this question by entering your answers in the tabs below.
Required A Required B
Find the bond's price today and six months from now after the next coupon is paid.
Note: Round your answers to 2 decimal places.
Current price
Price after six months
$
$
1,052.42
1,044.52
Chapter 26 Solutions
PRIN.OF CORPORATE FINANCE
Ch. 26 - Vocabulary check Define the following terms: a....Ch. 26 - Prob. 2PSCh. 26 - Catastrophe bonds On some catastrophe bonds,...Ch. 26 - Futures and options A gold-mining firm is...Ch. 26 - Prob. 5PSCh. 26 - Prob. 6PSCh. 26 - Futures contracts List some of the commodity...Ch. 26 - Prob. 8PSCh. 26 - Futures prices Calculate the value of a six-month...Ch. 26 - Futures prices In December 2017, six-month futures...
Ch. 26 - Prob. 11PSCh. 26 - Prob. 13PSCh. 26 - Prob. 15PSCh. 26 - Prob. 16PSCh. 26 - Prob. 17PSCh. 26 - Convenience yield In March 2018, six-month bitcoin...Ch. 26 - Prob. 19PSCh. 26 - Prob. 20PSCh. 26 - Total return swaps Is a total return swap on a...Ch. 26 - Prob. 22PSCh. 26 - Prob. 23PSCh. 26 - Hedging What is meant by delta () in the context...Ch. 26 - Hedging You own a 1 million portfolio of aerospace...Ch. 26 - Prob. 26PSCh. 26 - Prob. 27PSCh. 26 - Prob. 28PSCh. 26 - Hedging Price changes of two gold-mining stocks...Ch. 26 - Prob. 30PSCh. 26 - Prob. 31PSCh. 26 - Prob. 32PSCh. 26 - Prob. 33PSCh. 26 - You are a vice president of Rensselaer Advisers...
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