[2008]Topic 25: Bond Prices, Spot Rates, and Forward Rates相关习题 following, interpret, payments, forward, border

Baran

 

AIM 3: Define and interpret the forward rate, and compute the forward rate given series of spot rates or forward rates.

1、  Use the following Treasury bond prices to answer the next four questions. Assume the prices are for settlement on June 1, 2005, today’s date. Assume semiannual coupon payments:

Coupon	Maturity	Price
7.500%	12/1/2005	102-9
12.375%	6/1/2006	107-15
6.750%	12/1/2006	104-15
5.000%	6/1/2007	102-9+

The discount factors associated with the bonds maturing in December 2005 and June 2006, are closest to:

A) 0.9696/0.9858.

B) 0.9858/0.9546.

C) 0.9546/0.9696.

D) 0.9778/0.9696.

Baran

 

The correct answer is B

We must calculate the 6-month discount factor first. This is done by dividing today’s price by the final payment’s par + coupon:

 

Baran

 

The spot rates associated with the discount factors determined in the previous question are closest to:

A) 2.25%/4.87%.

B) 1.82%/7.56%.

C) 3.26%/5.87%.

D) 2.88%/4.70%.

Baran

 

The correct answer is D

 

Baran

 

Given the spot rates for the 6-month and 1-year maturing bond, the 6-month forward rate 6 months from now is closest to:

A) 5.86%.

B) 6.04%.

C) 6.54%.

D) 7.28%.

Baran

The correct answer is C

 

Baran

 The correct answer is C

 

Baran

 

2、Use the Treasury bond prices given below for the following four problems. Assume the prices are for settlement on June 1, 2005, today’s date. Assume semiannual coupon payments:

Coupon	Maturity	Price
6.00%	12/1/2005	99–15
7.00%	6/1/2006	98–27+
8.00%	12/1/2006	101–29
9.00%	6/1/2007	102–9

The discount factors associated with the bonds maturing in December 2005 and June 2006, respectively, are closest to:

A) 0.9587; 0.9157.

B) 0.9458; 0.9013.

C) 0.9319; 0.8769.

D) 0.9657; 0.9225.

Baran

 

The correct answer is D

 

We must calculate the discount factor for the December bond first. This is done by dividing today’s price by the final payment’s par + coupon:

 (99 + 15/32)/(100 + 6/2) = 0.9657. The 12-month discount factor d₂ solves the following equation: [(7/2)(0.9657)]+[(100+7/2)(d₂)] = 98+(27.5/32); d₂=0.9225.

Baran

 

The spot rates associated with the discount factors of the previous problem are closest to:

A) 4.87%; 6.23%.

B) 5.48%; 6.78%.

C) 7.10%; 8.23%.

D) 6.26%; 7.05%.