Ask Question, Ask an Expert

+1-415-315-9853

info@mywordsolution.com

Ask Math Expert


Home >> Math

1. Extract the term structure of interest rates out to 3 years given the following bond data:

Maturity (yrs)       Coupon rate (%)          Yield to maturity (%)
    0. 5                      1. 0                             1. 5
    1. 0                      1. 5                             1. 75
    1. 5                      2. 0                              2. 0
    2. 0                      2. 5                              2. 25
    2. 5                      3. 0                              2. 50
    3. 0                      3. 5                              2. 75

2. The time t= 0 continuously compounded term structure of interest rates is given by r(0,T)=0. 05 - 0. 005e-0.10T. Find the price of a Treasury bond with exactly 3 years to maturity and a coupon rate of 4. 0%.

3. Find a formula for the instantaneous forward rates f(0;T) associated with the continuously compounded term structure of interest rates

r(0,T)=0. 05 - 0. 005e-0.10T.

4. At time t an investor shorts a $1 face value zero coupon bond that matures at time T >t and uses the entire proceeds to purchase a zero coupon bond that matures at time S > T.

(a) In what quantity is the zero coupon bond that matures at time S purchased? Your answer should be expressed in terms of the time t prices P(t,T) and P(t,S).

(b) describe why these transactions are equivalent to agreeing to lend over the future period [T, S] at a rate that is determined at time t.

(c) What is the continuously compounded forward rate f(t;T;S) associated with this loan?

5. A bond is said to be at par if its flat price is equal to its face value. The Par Bond Yield Curve out to N years is a plot of their yields to maturity {y0(i)}i-12N on the vertical axis versus their respective maturities {i/2yrs}2N i-1 on the horizontal axis. Given the following term structure of interest rates

tj (yrs)      r0(j) (%)
0.5               2.0
1. 0              2. 5
1. 5              3. 0
2. 0              3. 5
2. 5              4. 0
3. 0              4. 5

find the par bond yields to maturity {y0(i)}i=16

Math, Academics

  • Category:- Math
  • Reference No.:- M91969

Have any Question? 


Related Questions in Math

By weight the ratio of chlorine to sodium in a salt is 5012

By weight, the ratio of chlorine to sodium in a salt is 50.12 to 27.00 How much sodium is contained in 41.00 kg of salt? Please explain and show work

A random sample of people at a dept of motor vehicles

A random sample of people at a dept of motor vehicles service center had the following wait times (in minutes) 7, 11, 14, 9, 18, 7, 11, 9, 7, 13. Find the mean, variance, and standard deviation of the data set. Please sh ...

Question 1 this question involves writing career goals

Question 1: This question involves writing career goals. First, write at least three five-year goals toward your career by using the guidelines within the SMART method. Remember, the SMART method involves making the goal ...

A population of beetles are growing according to a linear

A population of beetles are growing according to a linear growth model. The initial population (week 0) is P0=5, and the population after 9 weeks is P9=104. Find an explicit formula for the beetle population aftern n wee ...

There is a single player n i and the set of states of

There is a single player N = {I} and the set of states of nature is a finite set S. What is the universal type space in this case? What is the universal belief space (N,S)?

Select a grade level ccrs related to measurement and

Select a grade level CCRS related to Measurement and Data.  Using the Class Profile, create one lesson plan with instructional activities that: Makes comparisons; Uses models of measuring units; Uses measuring instrument ...

In this discussion you will solve quadratic equations by

In this discussion, you will solve quadratic equations by two main methods: factoring and using the quadratic formula. Read the following instructions in order and view the example to complete this discussion. Please com ...

A city has a population of 380000people suppose that each

A city has a population of 380,000people. Suppose that each year the population grows by 8%. What will the population be after 10 years?

Sydney monitors water usage in a suburb it examines records

Sydney monitors water usage in a suburb. It examines records of a random sample of 60 households and finds that there is daily mean usage of 374 liters with a standard deviation of 18 liters. What is the point estimate f ...

Can anyone explain me like when we use the phythgorean

Can anyone explain me like when we use the phythgorean triplet in triangle there are many triplet so how we know when to use this one.

  • 4,153,160 Questions Asked
  • 13,132 Experts
  • 2,558,936 Questions Answered

Ask Experts for help!!

Looking for Assignment Help?

Start excelling in your Courses, Get help with Assignment

Write us your full requirement for evaluation and you will receive response within 20 minutes turnaround time.

Ask Now Help with Problems, Get a Best Answer

Section onea in an atwood machine suppose two objects of

SECTION ONE (a) In an Atwood Machine, suppose two objects of unequal mass are hung vertically over a frictionless

Part 1you work in hr for a company that operates a factory

Part 1: You work in HR for a company that operates a factory manufacturing fiberglass. There are several hundred empl

Details on advanced accounting paperthis paper is intended

DETAILS ON ADVANCED ACCOUNTING PAPER This paper is intended for students to apply the theoretical knowledge around ac

Create a provider database and related reports and queries

Create a provider database and related reports and queries to capture contact information for potential PC component pro

Describe what you learned about the impact of economic

Describe what you learned about the impact of economic, social, and demographic trends affecting the US labor environmen