$($b$)(3$ marks$)$ Calculate the forward rates for $F(T2,T3)($i$.$e$.,$ the six$-$month forward rate, six

months from today$),F(T2,T4),F(T3,T6).($Please note: your calculation should

consider the $z-$spread.$)$

Working: $($please double$-$click the embedded Excel spreadsheet below$)$

$F(T2,T3)=$

$F(T2,T4)=$

$F(T3,T6)=$

$($c$)(2$ marks$)$ What is the yield$-$to$-$maturity $($YTM$)$ of this bond?

Working: $($please double$-$click the embedded Excel spreadsheet below$)$

Hint: you can use either the RATE function or the IRR function to get YTM$.$On $1$ July $2023,$ a bond was issued. This bond has an annual coupon rate of $5\%$ and pays

coupons at a semi$-$annual frequency $($in arrears$).$ The bond has a face value of $$100$ and matures

on $30$ June $2026.$ Today is $30$ June $2024($time notation is T$0),$ just after the receipt of the

coupon. The current risk$-$free spot curve is provided in the table below. The bond is currently

trading at a z$-$spread of $50$ basis points per annum.

$($a$)(5$ marks$)$ Calculate the market value of the bond.

Working: $($please double$-$click the embedded Excel spreadsheet below$)$