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In the two problems below, assume the following (treasury zero-coupon bond) yield curve. yield r3 L -- - 8% 5% SV F3 1 year 2
In the two problems below, assume the following (treasury zero-coupon bond) yield curve. yield r3 L -- - 8% 5% SV F3 1 year 2 years 3 years term to maturity 15. You want to buy a government bond with $1000 par value and 2 years to maturity that pays 12% annual coupon. This bond will sell for [ ]. a) $971.6 b) $1,071.3 C) $1,074. $1,878.31 e) none of the above d) 16. You work for Wells Fargo Bank in LA and Myron Scholes of Rocket, Inc. hedge fund (a risk-free fund) wants to get an interest-rate quote on a one-year loan to be drawn in two years (FRA contract). What is the minimum interest rate you would quote him if you know that 3-year zero- coupon government bonds yield 11%pa? a) b) C) 8.00%p.a. 11.00%p.a. 17.25% p.a. 20.60%p.a. 26.63%p.a. e) In the two problems below, assume the following (treasury zero-coupon bond) yield curve. yield r3 L -- - 8% 5% SV F3 1 year 2 years 3 years term to maturity 15. You want to buy a government bond with $1000 par value and 2 years to maturity that pays 12% annual coupon. This bond will sell for [ ]. a) $971.6 b) $1,071.3 C) $1,074. $1,878.31 e) none of the above d) 16. You work for Wells Fargo Bank in LA and Myron Scholes of Rocket, Inc. hedge fund (a risk-free fund) wants to get an interest-rate quote on a one-year loan to be drawn in two years (FRA contract). What is the minimum interest rate you would quote him if you know that 3-year zero- coupon government bonds yield 11%pa? a) b) C) 8.00%p.a. 11.00%p.a. 17.25% p.a. 20.60%p.a. 26.63%p.a. e)
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