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1. Calculate the prices for all the bonds. 2. Calculate the spot rates, discount factors, and forward rates for the curve. State these rates both
1. Calculate the prices for all the bonds. 2. Calculate the spot rates, discount factors, and forward rates for the curve. State these rates both on a semi-annual and a BEY basis. Sum of current and Implied prior period Theoretical Theoretical Implied Semi- Annual discount Semi-Annual Annual Spot Annual Forward factors Spot Rate Rate Forward Rates Rates Discount Factor Price Time in Time in Years Periods Coupon Rate 0.5 0.00% 1 2 0.00% 1.5 3 6.00% 2 4 6.25% 2.5 5 6.50% 3 6 6.75% 3.5 7 7.00% 4 8 7.50% 4.5 9 7.75% 5 10 8.00% 5.5 11 8.25% 6 12 10.00% 6.5 13 10.25% 7 14 10.50% 7.5 15 10.75% 8 16 11.00% Assume that par = Given Calculated YTM 6.00% 6.25% 6.50% 6.75% 7.00% 7.25% 7.50% 7.75% 8.00% 8.25% 8.50% 8.75% 9.00% 9.25% 9.50% 9.75% 100 1. Calculate the prices for all the bonds. 2. Calculate the spot rates, discount factors, and forward rates for the curve. State these rates both on a semi-annual and a BEY basis. Sum of current and Implied prior period Theoretical Theoretical Implied Semi- Annual discount Semi-Annual Annual Spot Annual Forward factors Spot Rate Rate Forward Rates Rates Discount Factor Price Time in Time in Years Periods Coupon Rate 0.5 0.00% 1 2 0.00% 1.5 3 6.00% 2 4 6.25% 2.5 5 6.50% 3 6 6.75% 3.5 7 7.00% 4 8 7.50% 4.5 9 7.75% 5 10 8.00% 5.5 11 8.25% 6 12 10.00% 6.5 13 10.25% 7 14 10.50% 7.5 15 10.75% 8 16 11.00% Assume that par = Given Calculated YTM 6.00% 6.25% 6.50% 6.75% 7.00% 7.25% 7.50% 7.75% 8.00% 8.25% 8.50% 8.75% 9.00% 9.25% 9.50% 9.75% 100
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