Reading 65:Yield Measures, Spot Rates, and Forward Rates- current, forward

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Q7. If the current two-year spot rate is 6% while the one-year forward rate for one year is 5%, what is the current spot rate for one year?

A)   5.5%.

B)   5.0%.

C)   7.0%.

 

Q8. Given the implied forward rates of: R₁ = 0.04; ₁r₁ = 0.04300; ₁r₂ = 0.05098; ₁r₃ = 0.051005, what is the theoretical 4-period spot rate?

A)   6.67%.

B)   2.33%.

C)   4.62%.

 

Q9. The one-year spot rate is 6% and the one-year forward rates starting in one, two and three years respectively are 6.5%, 6.8% and 7%. What is the four-year spot rate?

A)   6.51%.

B)   6.58%.

C)   6.57%.

 

Q10. Given the implied annual forward rates of: R₁ = 0.06; ₁r₁ = 0.062; ₂r₁ = 0.063; ₃r₁ = 0.065, what is the theoretical 4-period spot rate?

A)   6.75%.

B)   6.00%.

C)   6.25%.

 

 

Q11. Given the following spot and forward rates, how much should an investor pay for a 3-year, annual zero-coupon bond with a face value of $1,000?

• One-year spot rate at 3.5%
• The 1-year forward rate 1 year from today is 11.5%
• The 1-year forward rate 2 years from today is 19.75%

The investor should pay approximately:

A)   $720.

B)   $884.

C)   $724.

 

khaipinglai

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