Question: You have collected the following information from the Wall Street Journal 0.5-yr T-note trading at par with coupon rate 4.57% 1-yr T-note trading at par
| You have collected the following information from the Wall Street Journal | ||||
| 0.5-yr T-note trading at par with coupon rate 4.57% | ||||
| 1-yr T-note trading at par with ytm = 6.24% p.a. | ||||
| 1.5-yr T-note with coupon rate 5%, trading with ytm = 7.22% p.a. | ||||
| a) Compute the following zero yields from the above information | |||
| Please report per annum semi-annual compounding yields. | |||
| Enter your answers below | |||
| Maturity | Zero yields | ||
| 0.5 | |||
| 1 | |||
| 1.5 | |||
| b) From the above calculation, what is the price of a 1.5-yr T-note, face value $100 | |||||
| paying a coupon rate of 10% p.a. | |||||
| Enter your answer here | |||||
| c) What is the forward interest rate for a 1-yr loan starting 6 months from now ? | |||||
| (This is the 6x18 rate.) Please report a per annum semi-annual compounding rate. | |||||
| Enter your answer here | |||||
| d) Microsoft is currently selling for $29/share. What is its 1-yr forward price? | |||||
| Enter your answer here | |||||
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