2) Suppose that the SONIA yield curve looks like this: Maturity SONIA 6 months 5.20% 12...
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2) Suppose that the SONIA yield curve looks like this: Maturity SONIA 6 months 5.20% 12 5.10% months 18 4.90% months 24 months 4.80% a) What would be the price of a two-year, 1,000 par bond that pays 4.5% fixed coupon interest semi-annually? (Assume a coupon payment has just been paid). b) What fixed coupon rate would be required to make a brand new 2-year bond with semi- annual coupons price at par? c) What is the 180-day forward rate for borrowing/lending between days 180 and 360 implied by the yield curve above? d) What is the 180-day forward rate for borrowing/lending between days 540 and 720 implied by the yield curve above? 2) Suppose that the SONIA yield curve looks like this: Maturity SONIA 6 months 5.20% 12 5.10% months 18 4.90% months 24 months 4.80% a) What would be the price of a two-year, 1,000 par bond that pays 4.5% fixed coupon interest semi-annually? (Assume a coupon payment has just been paid). b) What fixed coupon rate would be required to make a brand new 2-year bond with semi- annual coupons price at par? c) What is the 180-day forward rate for borrowing/lending between days 180 and 360 implied by the yield curve above? d) What is the 180-day forward rate for borrowing/lending between days 540 and 720 implied by the yield curve above?
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