Question
Consider the following information about zero coupon bonds. Each spot rate is expressed as an annual percentage rate (APR), compounded semi-annually. Bond Maturity Price Face
Consider the following information about zero coupon bonds. Each spot rate is expressed as an annual percentage rate (APR), compounded semi-annually.
| Bond | Maturity | Price | Face Value | Spot Rate(APR) |
| a | 1 year | ? | $1000 | 9.66% |
| b | 2 year | $856 | $1000 | ? |
a) Calculate the price of bond A and the annual spot rate (APR) of bond B
b) Calculate the price of a two-year level coupon bond (bond C) with an annual 5% coupon rate (annual payments)
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Research Methods Statistics and Applications
Authors: Kathrynn A. Adams, Eva Marie K. Lawrence
1st edition
1452220182, 978-1452220185
