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A 5 year, 4.5% semi-annual coupon bond is priced at 98. a. What is its current yield? b. What is its YTM? c. Convert its

A 5 year, 4.5% semi-annual coupon bond is priced at 98. a. What is its current yield? b. What is its YTM? c. Convert its YTM to an Equivalent Annual Rate (EAR). d. Convert its YTM to an equivalent monthly rate.

A 6% German corporate bond is priced for settlement on 18 June 2015 at a yield (YTM) of 6%. The bond makes semi-annual coupon payments on 19 March and 19 September each year and matures on 19 September 2026. The market uses a 30/360 day convention to price this bond. a. What is the full price of this bond? (Hint: based on a 30/360 day convention there are 89 days between the last coupon date and the settlement date, and 180 days between the last coupon period and the next coupon period). b. What is the accrued interest (AI) owed to the seller of the bond on the settlement date? c. What is the clean price of the bond on settlement date?

Consider the following hypothetical spot curve:

Maturity (years) Spot rate (%)
0.5 3.00
1.0 3.25
1.5 3.60
2.0 3.90

a. Use the spot rates in the chart above to calculate the arbitrage-free price of a 4% coupon, semi-annual, 2-year note from a similar credit quality issuer? b. If the price you calculate above is indeed the market value of the 4% coupon, semi-annual, 2-year note, what is its YTM?A bond with 5 years remaining until maturity is currently trading for 101. The bond offers a 6% coupon rate with interest paid semi-annually. The bond is first callable in 3 years, and then every year subsequently after that according to the following schedule:

End of year Call price
3 101
4 100.50
5 100

a. What is the bonds yield-to-first call? b. What is the bonds yield-to-second call? c. What is the bonds yield-to-worst call?

A 4-year French FRN pays 3-mo Euribor + 125bps and is priced at 98. What is the discount margin for the note assuming 3-mo Euribor stays at 2%? (Assume a 30/360 day count convention and evenly spaced periods).

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