For Questions 1-5 below, refer to the following table of zero-coupon rates for time t=0. Assume...
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For Questions 1-5 below, refer to the following table of zero-coupon rates for time t=0. Assume annual compounding. Maturity in years 1 23 4 5 6 7 8 9 10 Zero-coupon rate 0.60% 0.70% 0.80% □ $55.00 $57.09 $58.09 $ 60.00 □ $100.00 0.90% 1.00% 1.10% 1.20% 1.30% 1.40% 1.50% Question 1 4 points Consider a zero-coupon bond with a face value of $60 and five years to maturity. Compute its current fair value at t=0. (only one possible answer) Question 2 Consider a zero-coupon bond with a face value of $60 and five years to maturity. Compute its DV01 at t=0. (only one possible answer) □ $0.0098 □ $0.0500 $ 0.0283 □ $0.0471 □ $0.6000 Question 3 Consider a zero-coupon bond with a face value of $100 and five years to maturity. Compute its (modified) duration at t=0. (only one possible answer) □4.89 □ 4.91 4.93 4.95 □4.97 Question 4 Compute the implied (fair) forward rate from Year 4 to Year 5. (only one possible answer) □0.80% ☐ 0.90% □ 1.00% □ 1.10% □ 1.20% 4 points 4 points Question 5 Assumption: the zero-coupon spot rates after one year become the implied forwards from t=0. Consider a zero-coupon bond with a face value of 60$ and five years to maturity at t=0. Compute the change in fair value of this zero-coupon bond after one year. (only one possible answer) $-1.00 $-0.60 □0 □ $0.60 □ $ 1.00 For Questions 1-5 below, refer to the following table of zero-coupon rates for time t=0. Assume annual compounding. Maturity in years 1 23 4 5 6 7 8 9 10 Zero-coupon rate 0.60% 0.70% 0.80% □ $55.00 $57.09 $58.09 $ 60.00 □ $100.00 0.90% 1.00% 1.10% 1.20% 1.30% 1.40% 1.50% Question 1 4 points Consider a zero-coupon bond with a face value of $60 and five years to maturity. Compute its current fair value at t=0. (only one possible answer) Question 2 Consider a zero-coupon bond with a face value of $60 and five years to maturity. Compute its DV01 at t=0. (only one possible answer) □ $0.0098 □ $0.0500 $ 0.0283 □ $0.0471 □ $0.6000 Question 3 Consider a zero-coupon bond with a face value of $100 and five years to maturity. Compute its (modified) duration at t=0. (only one possible answer) □4.89 □ 4.91 4.93 4.95 □4.97 Question 4 Compute the implied (fair) forward rate from Year 4 to Year 5. (only one possible answer) □0.80% ☐ 0.90% □ 1.00% □ 1.10% □ 1.20% 4 points 4 points Question 5 Assumption: the zero-coupon spot rates after one year become the implied forwards from t=0. Consider a zero-coupon bond with a face value of 60$ and five years to maturity at t=0. Compute the change in fair value of this zero-coupon bond after one year. (only one possible answer) $-1.00 $-0.60 □0 □ $0.60 □ $ 1.00
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