Question
Official Cash Rate : is 0.75% Bank Bill : A bank bill with a face value of $6.664 million which has 122 days to maturity
Official Cash Rate: is 0.75%
Bank Bill: A bank bill with a face value of $6.664 million which has 122 days to maturity and is trading at a yield of 1.94%.
Bond A $12.8417 million face value bond that was issued today and which has a 3.75% coupon, a 2 July 2045 maturity, that is trading at a yield to maturity of 3.47% p.a.
Required
- In one word, what is the shape of the yield curve? (1 mark)
- What is the fair market price for:
- Bank bill (2 marks)
- Bond (8 marks
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Handbook Of Asset And Liability Management Volume 2
Authors: S. A. Zenios, W. T. Ziemba
1st Edition
0444528024, 978-0444528025
