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#8: (a) Construct a spot curve out to 2.5 years using the following data for 5 bonds. Bond Maturity Price Face Value Coupon 0% 6
#8: (a) Construct a spot curve out to 2.5 years using the following data for 5 bonds. Bond Maturity Price Face Value Coupon 0% 6 month T-bill (no $10,000 6 months $9910 coupons) 7% 1 year $10,050 1 year semiannual $10,000 coupon bond 4% 1.5 years $46,500 1.5 year semiannual $50,000 coupon bond 5% 2 years $96,500 2 year semiannual $100,000 coupon bond 2.5 years $98,000 2.5 year semiannual $100,000 7% coupon bond (b) Use the curve you built in part (a) to price a semiannual coupon bond maturing in 15 months, with a $10,000 face value and a 3% coupon (Use piecewise linear interpolation for the curve). #8: (a) Construct a spot curve out to 2.5 years using the following data for 5 bonds. Bond Maturity Price Face Value Coupon 0% 6 month T-bill (no $10,000 6 months $9910 coupons) 7% 1 year $10,050 1 year semiannual $10,000 coupon bond 4% 1.5 years $46,500 1.5 year semiannual $50,000 coupon bond 5% 2 years $96,500 2 year semiannual $100,000 coupon bond 2.5 years $98,000 2.5 year semiannual $100,000 7% coupon bond (b) Use the curve you built in part (a) to price a semiannual coupon bond maturing in 15 months, with a $10,000 face value and a 3% coupon (Use piecewise linear interpolation for the curve)
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