Question
Bond Principal ($) Time to Maturity (years) Annual Coupon ($)* Bond Price ($) 100 0.5 0.0 97.50 100 1.0 0.0 95.25 100 1.5 6.2 101.75
Bond Principal ($) | Time to Maturity (years) | Annual Coupon ($)* | Bond Price ($) |
100 | 0.5 | 0.0 | 97.50 |
100 | 1.0 | 0.0 | 95.25 |
100 | 1.5 | 6.2 | 101.75 |
100 | 2.0 | 8.0 | 104.00 |
Bond Principal ($) Time to Maturity (years) Annual Coupon ($)* Bond Price ($) 100 0.5 0.0 97.50 100 1.0 0.0 95.25 100 1.5 6.2 101.75 100 2.0 8.0 104.00 a) Calculate zero rates for maturities of 6 months, 12 months, 18 months, and 24 months. b) What are the forward rates for the periods: 6 months to 12 months, 12 months to 18 months, 18 months to 24 months? c) What are the 6-month, 12-month, 18-month, and 24-month par yields for bonds that provide semiannual coupon payments? d) Estimate the price and yield of a two-year bond providing a semiannual coupon of 7% per annum.
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