3.5 The following table gives the prices of four bonds. Bond Principal ($) 100 Bond #...
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3.5 The following table gives the prices of four bonds. Bond Principal ($) 100 Bond # Time to Maturity (years) 0.5 annum. 1.0 Annual Coupon ($)* 1 2 100 3 100 4 100 *: Half of the stated coupon is paid every six months. (a) Calculate the zero rates for maturities of 6 months, 12 months, 18 months, and 24 months. (b) What are the forward rates for the 6-month periods: months 7 to 12, months 13 to 18, months 19 to 24? 1.5 2.0 0.0 Bond Price ($) 98 95 101 104 0.0 6.2 8.0 (c) What are the 6-month, 12-month, 18-month, and 24-month par yields for bonds that provide semiannual coupon payments? (d) Estimate the price and yield of a two-year bond providing a semiannual coupon of 7% per 3.5 The following table gives the prices of four bonds. Bond Principal ($) 100 Bond # Time to Maturity (years) 0.5 annum. 1.0 Annual Coupon ($)* 1 2 100 3 100 4 100 *: Half of the stated coupon is paid every six months. (a) Calculate the zero rates for maturities of 6 months, 12 months, 18 months, and 24 months. (b) What are the forward rates for the 6-month periods: months 7 to 12, months 13 to 18, months 19 to 24? 1.5 2.0 0.0 Bond Price ($) 98 95 101 104 0.0 6.2 8.0 (c) What are the 6-month, 12-month, 18-month, and 24-month par yields for bonds that provide semiannual coupon payments? (d) Estimate the price and yield of a two-year bond providing a semiannual coupon of 7% per
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