Bond Price ($) Question 3 - Bonds (20 marks) The following table gives the prices of bonds Bond Principal ($) Time to Maturity Annual Coupon (yrs) ($)* 100 0.5 0.0 1.0 0.0 100 1.5 6.2 100 2.0 8.0 *Half the stated coupon is paid every six months 100 98 95 101 104 a) Calculate zero rates for maturities of 6 months, 12 months, 18 months, and 24 months. (5 marks) b) What are the forward rates for the periods: 6 months to 12 months, 12 months to 18 months, 18 months to 24 months? (5 marks) c) What are the 6-month, 12-month, 18-month, and 24-month par yields for bonds that provide semi-annual coupon payments? (5 marks) d) Estimate the price and yield of a two-year bond providing a semi-annual coupon of 7% per annum. (5 marks) Bond Price ($) Question 3 - Bonds (20 marks) The following table gives the prices of bonds Bond Principal ($) Time to Maturity Annual Coupon (yrs) ($)* 100 0.5 0.0 1.0 0.0 100 1.5 6.2 100 2.0 8.0 *Half the stated coupon is paid every six months 100 98 95 101 104 a) Calculate zero rates for maturities of 6 months, 12 months, 18 months, and 24 months. (5 marks) b) What are the forward rates for the periods: 6 months to 12 months, 12 months to 18 months, 18 months to 24 months? (5 marks) c) What are the 6-month, 12-month, 18-month, and 24-month par yields for bonds that provide semi-annual coupon payments? (5 marks) d) Estimate the price and yield of a two-year bond providing a semi-annual coupon of 7% per annum