Based on the quotes for German debt securities described below, Security Mid Price Bund 5% 2008 101.01
Question:
Based on the quotes for German debt securities described below,
Security | Mid Price |
Bund 5% 2008 | 101.01 |
Bund 4% 2009 | 100.00 |
Bund 3.5% 2010 | 98.35 |
Bund 2.5% 2011 | 93.88 |
Bund 4% 2012 | 98.74 |
Please assume that: all bonds above have an annual coupon; and no accrued interest is due for all bonds at the settlement date.
Determine:
1.1The current spot rates implied by the market.
1.2The yield-to-maturity offered by the Bund 3.5% 2010.
1.3The current duration and convexity of the Bund 4% 2009 (for both calculations just assume 1bp move).
1.4What will be the fair price for a 5-year bond of Telecom Italia (assuming an annual coupon of 6%) assuming a zero-volatility spread of +45bp.
1.5Determine the expected price for the Bund 2.5% 2011 in 2 years time.
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill