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Bond Time to Annual Principle Maturity Coupon ($) (years) ($) 100 0.5 0 Bond Price ($) 98.511 1 2 100 1.0 0 96.079 3 100
Bond Time to Annual Principle Maturity Coupon ($) (years) ($) 100 0.5 0 Bond Price ($) 98.511 1 2 100 1.0 0 96.079 3 100 1.5 5 100.000 4 100 2.0 6 100.893 Half the stated coupon will be paid every six months 6. Use the zero-curve in Prob.5 to value an FRA where you will receive treasury rate and pay 7% (compounded annually) for the second year on $100 millions. (15%) Bond Time to Annual Principle Maturity Coupon ($) (years) ($) 100 0.5 0 Bond Price ($) 98.511 1 2 100 1.0 0 96.079 3 100 1.5 5 100.000 4 100 2.0 6 100.893 Half the stated coupon will be paid every six months 6. Use the zero-curve in Prob.5 to value an FRA where you will receive treasury rate and pay 7% (compounded annually) for the second year on $100 millions. (15%)
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