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LOS e: Compute the value of a zero-coupon bond.ffice ffice" />
Q1. If a 15-year, $1,000 ffice:smarttags" />U.S. zero-coupon bond is priced to yield 10%, what is its market price?
A) $231.38.
B) $23.50.
C) $239.39.
Correct answer is A)
N = 30; I/Y = 5; PMT = 0; FV = 1,000; CPT → PV = 231.38.
Q2. What is the yield to maturity (YTM) of a 20-year, U.S. zero-coupon bond selling for $300?
A) 6.11%.
B) 7.20%.
C) 3.06%.
Correct answer is A)
N = 40; PV = 300; FV = 1,000; CPT → I = 3.055 × 2 = 6.11.
Q3. What is the value of a zero-coupon bond if the term structure of interest rates is flat at 6% and the bond has two years remaining to maturity?
A) 88.85.
B) 83.75.
C) 100.00.
Correct answer is A)
The bond price is computed as follows:
Zero-Coupon Bond Price = 100/1.034 = 88.85.
The value 83.75 is incorrect because the principal is discounted over a three-year period but the bond has only two years remaining to maturity. The value 100.00 is incorrect because the principal received at maturity has to be discounted over a period of two years.
Q4. What would an investor pay for a 25-year zero coupon bond if they required 11%? (Assume semi-annual compounding.)
A) $68.77
B) $1,035.25
C) $103.53
Correct answer is A)
N = 50, I/Y = 5.5, PMT = 0, FV = 1,000
CPT PV = 68.77
Q5. The value of a 10-year zero-coupon bond with a $1,000 maturity value, compounded semiannually, and has an 8% discount rate is closest to:
A) $200.00.
B) $456.39.
C) $463.19.
Correct answer is B)
V = (maturity value)/(1 + i)number of years x 2 = $1,000/(1.04)10 x 2 = $1,000/2.1911 = $456.39
or
n = 20, i = 4, FV = 1,000, compute PV = 456.39.
Q6. A Treasury bill has a $10,000 face value and matures in one year. If the current yield to maturity on similar Treasury bills is 4.1% annually, what would an investor be willing to pay now for the T-bill?
A) $9,606.15.
B) $9,799.12.
C) $9,899.05.
Correct answer is A)
The investor would pay the present value of the $10,000 one year away at a discount rate of 4.1%. To value the T-bill, enter FV = $10,000; N = 1; PMT = 0; I/Y = 4.1%; CPT → PV = -$9,606.15.
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发表于 2009-3-2 18:01
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