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1. Suppose a 4.4% 20-year Treasury note (coupons are paid semi-annually) is issued at par (= $100, 000) on Feb 15, 2023. If the yield
1. Suppose a 4.4% 20-year Treasury note (coupons are paid semi-annually) is issued at par (= $100, 000) on Feb 15, 2023. If the yield is unchanged, calculate the following on Jun 15, 2023 (exactly 4 months later). Report your answers to two decimal places
(i) the dirty price
(ii) the accrued interest
(iii) the clean price
2. Use the bond price formula to calculate for each of the following bonds the price as a percentage of par. Report answers to two decimal places.
Bond | Years to Maturity | Yield (%) | Coupon Rate (%) | Coupon period | Price (% |
A | 8 | 4.0 | 3.8 | Semi-annual | |
B | 20 | 5.2 | 4.4 | annual | |
C | 5 | 4.8 | 5.2 | Quartterly |
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