LOS e: Compute the value of a zero-coupon bond.

Q1. If a 15-year, $1,000 U.S. zero-coupon bond is priced to yield 10%, what is its market price?

A)   $231.38.

B)   $23.50.

C)   $239.39.

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%.

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.

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

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.

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.

[此贴子已经被作者于2009-3-2 18:02:11编辑过]

LOS e: Compute the value of a zero-coupon bond.fficeffice" />

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.

thanks