Ex7-5: Using following information, calculate the impact of one percent increase in market interest rate on the bond price. Financial Term Today One year later Market interest rate 3% 4% Coupon rate 3% 3% (semi-annual payment) Face value $1,000 $1,000 Maturity 10 years ? Price ? ? YTM 3% ?
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- Q1. Consider the following par bond (ie coupon rate=yield):Year: 10 and 20 years . Yld 1.50% and 2.0% Q1c. if you hold the 20Y for 1 year, what is your total return from the investment assuming yldcurve does not change ? Hint: your total return comes from coupon collection as well as price appreciation ordepreciationMaturity (years) Spot rate (%) 1-year Forward rate (%) 0-years from now 1.25 1-year from now 1.75 2-years from now 1.908 Cash flow $3 $3 $103 1 1.25 2 1.5019 1.70491 Using the same information above, what is the price of the bond if it is callable at Par one year and two years from now at zero volatility? O A. $106.6914 B. $104.6914 OC. $102.6914 OD. $114.6914B. Find the annual interest and maturity/yield rate. FACE VALUE COUPON RATE ANNUAL PRESENT VALUE MATURITY/YIELD RATE INTEREST 5. P1,000.00 3% P850 6. P600,000.00 5% P630,000.00
- Given n1-year par rate = 4% n2-year par rate = 5.2% n3-year par rate = 6.4% nSuppose the bond price is K1, 1 - Compute the 1-year, 2-year and 3-year spot rates using bootstrapping process. 2 - Compute the 1-year forward rates, starting from today, 1 year from now and 2-year from nowQ3. Calculate Two-Year Returns on Different-Maturity 5% Coupon Rate Bonds with Face Value of 1000 When Interest Rates Rise from 5% to 10% Original maturity 30 20 10 5 2 1 Initial Current Yield (%) Initial Price (S) Price Next Year (5) Rate of Capital Gain (%) Rate of Return (N)K Assume that a bond will make payments every six months as shown on the following timeline (using six-month periods): 0 2 5 Period $19.53 a. What is the maturity of the bond (in years)? b. What is the coupon rate (as a percentage)? c. What is the face value? Cash Flows View an example Get more help. ★ a. What is the maturity of the bond (in years)? The maturity is years. (Round to the nearest integer.) A 6 1 MacBook Pro & 7 $19.53 * 8 9 C 59 $19.53 60 $19.53+$1,000 Clear all BUB 0 {
- Bond quote Face value ($) Time to maturity (years) Annual coupon payments (paid semi-annually) bond price ($) zero rate 100 0.5 0 98 4.0405% 100 1 0 97 ? 100 1.5 15 115 ? 100 2 20 ? 5.500% Using the Table above, find the appropriate zero rates for1 year find the appropriate zero rates for 1.5 year find the 2-year bond price find the par-yield for the 2-year-maturity bond *Note1: zero rate for the 6 month period is done for you. *Note 2: coupon payments given are yearly coupon payments, which these will be paid out semi-annually (i.e. every 6 months)Bond quote Face value ($) Time to maturity (years) Annual coupon payments (paid semi-annually) bond price ($) zero rate 100 0.5 0 98 4.0405% 100 1 0 97 ? 100 1.5 15 115 ? 100 2 20 ? 5.500% Using the Table above, find the appropriate zero rates for1 year find the appropriate zero rates for 1.5 year find the 2-year bond price find the par-yield for the 2-year-maturity bond *Note1: zero rate for the 6 month period is done for you. *Note 2: coupon payments given are yearly coupon payments, which these will be paid out semi-annually (i.e. every 6 months) When doing calculations in this course, use at least 6 decimal places for accurate answers.1. Bond problem 1. Solve for the missing parameters "?" using Excel; show spreadsheet work: a) Number of Periods: ? Rate of Return: 18% Coupon Rate: 12% Market Price: $13,767.90 Face Value: $50,000.00 b) Coupon Rate: ? Periods: 5 Payment: $1000 Market Price: $15,000 Face Value: $10,000 c) Face Value: ? Rate of Return: 20% Periods: 5 Coupon Rate: 6.5% Market Price: $1,000
- Ma4. Please give only typed answer. The function s(t) = 0.15 − 0.03 e− t/4 provides the term structure of effective annual rates of zero coupon bonds of maturity t, with t in years. Find the following: (a) The effective annual rate of a 3 year zero coupon bond. (b) The 2-year forward effective annual rate for a one year period. (c) The forward effective annual rate for a one year period, 3 years forward. (d) The 3-year forward effective annual rate for a 3 month period. (e) The forward effective annual rate for a one day period, 3 years forward (the “overnight” rate). (Use 1/365 for a one-day period.) Answer as a percentage, correct to 2 decimals.Consider the following balance sheet (in millions) for an FI: Assets Liabilities Duration = 10 years $950 Duration = 2 years $860 Equity $90 What is the impact on the FI's equity value if the relative change in interest rates is an increase of 1 percent? That is, DR/(1+R) = 0.01. Suppose that the FI in part (c) macrohedges using Treasury bond futures that are currently priced at 96. What is the impact on the FI's futures position if the relative change in all interest rates is an increase of 1 percent? That is, DR/(1+R) = 0.01. Assume that the deliverable Treasury bond has a duration of nine years. If the FI wants to macrohedge, how many Treasury bond futures contracts does it need?Q1. Consider the following par bond (ie coupon rate=yield): Year 3 5 7 10Yld 0.83% 1.22% 1.45% 1.54% Q1a. based on linear interpolation, what is the expected yield for a 10 year note ONE year later, assuming yield curve shape stays the same? Q1b. how much should the 10y note be priced 1 year later (as a 9 year note)?