[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

 

9、

Maturity (Years)	STRIP Price	Spot Rate	Forward Rate
0.5	98.7654	2.50%	2.50%
1.0	97.0662	3.00%	3.50%
1.5	95.2652	3.26%	3.78%
2.0	93.2775	?.??%	?.??%

The 2-year spot rate is closest to:

A) 3.42%.

B) 3.87%.

C) 4.02%.

D) 3.51%.

Baran

 

The correct answer is D

 

N = 4; PV = ?93.2775; PMT = 0; FV = 100; CPT → I/Y = 1.755%;

z(0.5) = 1.755% × 2 = 3.51%.

Baran

 

8、The Treasury spot rate yield curve is closest to which of the following curves?

A) Zero-coupon bond yield curve.

B) Par bond yield curve.

C) Reinvestment rate yield curve.

D) Forward yield curve rate.

Baran

 

The correct answer is A

 

The spot rate yield curve shows the appropriate rates for discounting single cash flows occuring at different times in the future. Conceptually, these rates are equivalent to yields on zero-coupon bonds. The par bond yield curve shows the YTMs on coupon bonds by maturity. Forward rates are expected future short-term rates. Reinvestment rates are not part of the spot rate yield curve.

Baran

 

The correct answer is C

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[此贴子已经被作者于2009-6-26 15:54:24编辑过]

Baran

 

The correct answer is A

 

First, calculate the spot rate in year 2.

2 * [(100/93.2775)^(1/4) - 1] = 3.51%

Next, calculate the forward rate in year 2.

Baran

 

The value of a 1.5-year, 6 percent semiannual coupon, $100 par value bond is closest to:

A) $102.19.

B) $103.42.

C) $104.00.

D) $105.66.

Baran

 

7、Use this table for the following questions.

Maturity (Years)	STRIPS Price	Spot Rate	Forward Rate
0.5	98.7654	2.50%	2.50%
1.0	97.0662	3.00%	3.50%
1.5	95.2652	3.26%	3.78%
2.0	93.2775	????%	????%

The 6-month forward rate in 1.5 years (ending in year 2.0) is closest to:

A) 4.26%.

B) 4.57%.

C) 4.11%.

D) 4.04%.

Baran

 

The correct answer is C

It might be best to draw a set of timelines for this problem.

The one-year rate that will exist one year from today is:

(1.045)2/(1.04) ? 1 = 0.05, or 5%.

The one-year rate that will exist two years from today is:

(1.05)3/(1.045)2 ? 1 = 0.06, or 6%.

The two-year rate that will exist one year from today is:

(1.05)3/(1.04)) = (1.113)0.5 = 1.055 ? 1 = 0.055, or 5.5%.

Note that the rate that an investor could earn on a sum invested today for the next three years would be equal to the three-year spot rate of 5%.