4. You are given the following price data for T-bills. Maturity (Months) 2 Cash Flow($) 6...
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4. You are given the following price data for T-bills. Maturity (Months) 2 Cash Flow($) 6 9 12 a) One month b) 1 months. 2000 T-Bill Price Assume the risk-free rate for the first two months is flat (i.e. the two month rate is equivalent to the one month rate). Estimate the price of a T-bill maturing at the times in a) to e) (hint: calculate the continuously compounding rates for each of the T-bills in the table and use interpolation to estimate the interim rates from which you can calculate appropriate T-bill prices): 4 months 500 99.11 7 months -1200 98.72 96.85 Four months c) Five and a half months d) Seven months e) Ten months f) Given the following riskless cash flow, estimate the present worth. 95.97 10 months -1000 12 months 500 4. You are given the following price data for T-bills. Maturity (Months) 2 Cash Flow($) 6 9 12 a) One month b) 1 months. 2000 T-Bill Price Assume the risk-free rate for the first two months is flat (i.e. the two month rate is equivalent to the one month rate). Estimate the price of a T-bill maturing at the times in a) to e) (hint: calculate the continuously compounding rates for each of the T-bills in the table and use interpolation to estimate the interim rates from which you can calculate appropriate T-bill prices): 4 months 500 99.11 7 months -1200 98.72 96.85 Four months c) Five and a half months d) Seven months e) Ten months f) Given the following riskless cash flow, estimate the present worth. 95.97 10 months -1000 12 months 500
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Answer rating: 100% (QA)
a Price of onemonth Tbill The continuously compounding rate for a twomonth Tbill is calculated using the following formula r 100991112 1 00202 The con... View the full answer
Related Book For
Introduction to Operations Research
ISBN: 978-1259162985
10th edition
Authors: Frederick S. Hillier, Gerald J. Lieberman
Posted Date:
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