Question
In: Finance
A 3-year bond carrying 3.4% annual coupon and $100-par is putable at par 1 year and...
A 3-year bond carrying 3.4% annual coupon and $100-par is putable at par 1 year and 2 years from today. Calculate the value of the putable bond under the forward rate curve below.
1-year spot rate: 2.1%;
1-year spot rate 1 year from now: 2.5%;
1-year spot rate 2 years from now: 3.8%.
Assume annual compounding. Round your answer to 2 decimal places (nearest cent).
Solutions
Expert Solution
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Coupon Rate: 3.4% Par value of bond : $100 1-year spot rate: 2.1% 1-year spot rate 1 year from now: 2.5% 1-year spot rate 2 years from now: 3.8% |
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1-year spot rate: 2.1% PV0 = 0.034× $100 + $100/ 1+0.021 = 101.27 |
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1-year spot rate 1 year from now: 2.5% PV1 = 0.034× $100 + $100/ 1+0.025 = 98.80 |
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1-year spot rate 2 years from now: 3.8% PV2 = 0.034× $100 + $100/ 1+0.038 = 99.62 |
jeff jeffy answered 2 years agoRelated Solutions
Question 1- A 3-year bond carrying 3.4% annual coupon and $100-par is putable at par 1...
Question 1-
A 3-year bond carrying 3.4% annual coupon and $100-par is
putable at par 1 year and 2 years from today. Calculate the value
of the putable bond under the forward rate curve below.
1-year spot rate: 2.0%;
1-year spot rate 1 year from now: 2.6%;
1-year spot rate 2 years from now: 4.1%.
Assume annual compounding. Round your answer to 2 decimal places
(nearest cent).
Question 2-
A 3-year bond carrying 3.4% annual coupon and $9,000-par is
putable...
A 3-year bond carrying 3.5% annual coupon and $100-par is putable at par 1 year and...
A 3-year bond carrying 3.5% annual coupon and $100-par is
putable at par 1 year and 2 years from today. Calculate the value
of the putable bond under the forward rate curve below.
1-year spot rate: 1.6%;
1-year spot rate 1 year from now: 2.8%;
1-year spot rate 2 years from now: 4.3%.
Assume annual compounding. Round your answer to 2 decimal places
(nearest cent).
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KFA has issued a 100-year coupon bond with par of $1,000, and a 6.50% annual coupon...
KFA has issued a 100-year coupon bond with par of $1,000, and a
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Input:
Output:
Par ($)
1,000.00
Years to maturity
100
Annual coupon rate
6.50%
Coupons per year
2
Price
Yield to maturity
4.0%
Yield to maturity
6.0%
Yield to maturity
8.0%
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NOTE: please help especially on the duration part
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