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4. (10 points) Suppose that a four-year FRN pays 180-day Libor plus 2% on a semi-annual basis. Currently, 180-day Libor is 3%. The price of
4. (10 points) Suppose that a four-year FRN pays 180-day Libor plus 2% on a semi-annual basis. Currently, 180-day Libor is 3%. The price of the floater is 95 per 100 of par value. What is discount margin? 5. (10 points) An annual coupon bond has 2 years remaining to the maturity. The bond has a face value of $100 and payment per year of $8. One-year, two-year and three-year benchmark spot rates are 4.86%, 4.95% and 5.65%. The bond is currently trade at a z-spread of 75 bps. What is the value of the bond? 6. (15 points) Consider an annual coupon payment bond. The coupon rate is 6%. There is four years and three months until the maturity. The face value of this bond is $1000 and the discount rate per year is 8%. What is the full price? Accrued interest? Flat price (clear price)? 4. (10 points) Suppose that a four-year FRN pays 180-day Libor plus 2% on a semi-annual basis. Currently, 180-day Libor is 3%. The price of the floater is 95 per 100 of par value. What is discount margin? 5. (10 points) An annual coupon bond has 2 years remaining to the maturity. The bond has a face value of $100 and payment per year of $8. One-year, two-year and three-year benchmark spot rates are 4.86%, 4.95% and 5.65%. The bond is currently trade at a z-spread of 75 bps. What is the value of the bond? 6. (15 points) Consider an annual coupon payment bond. The coupon rate is 6%. There is four years and three months until the maturity. The face value of this bond is $1000 and the discount rate per year is 8%. What is the full price? Accrued interest? Flat price (clear price)
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