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Please answer all parts!! Thank you in advance!! Problem 13-09 Evaluate the following pure-yield pickup swap: You currently hold a 15-year, AA-rated, 9.5% coupon bond
Please answer all parts!!
Thank you in advance!!
Problem 13-09 Evaluate the following pure-yield pickup swap: You currently hold a 15-year, AA-rated, 9.5% coupon bond priced to yield 10.5%. As a swap candidate, you are considering a 15-year, AA-rated, 10.5% coupon bond priced to yield 11.0%. (Assume reinvestment at 10.5%, $1,000 par value, semiannual coupons.) Do not round intermediate calculations. Round your monetary answers to the nearest cent and percentage answers and value of swap to two decimal places. You may use Appendix C to answer the questions. Current Bond Candidate Bond $ $ $ S Dollar investment Annual coupon i on one coupon Principal value at year end Total accrued Realized compound yield $ $ $ $ $ $ % Value of swap: basis points in one year Present Value of $1: C APPENDIX Period 1 2 3 4 5 6 7 8 9 10 2% 3% 5% 6% 7% 8% 9% 10% 12% 14% 15% 16% 9901 9804 9709 9615 9524 9434 9346 .92599174 9091 .8929 .8772 .8696 8621 9803 9612 9426 9246 9070 8900 8734 .8573 .8417 .8264 .79727695 7561 .7432 9706 9423 9151 .8890 8638 8396 8163 .7938 7722 7513 7118 6750 6575 6407 .9610 9238 8885 .8548 8227 7921 7629 .7350 7084 .6830 6355 5921 .5718 5523 9515 9057 8626 8219 7835 7473 7130 6806 6499 62095674 5194 4972 4761 9420 8880 8375 7903 7462 7050.6663 6302 5963 5645 5066 4556 4323 4104 .9327 .8706 8131 .75997107 6651 6227 5835 5470 5132 4523 3996 3759 3538 .9235.8535 .7894 .7307 6768 .6274 5820 5403 .50194665 40393506 3269 3050 9143 .8368 7664 7026 6446 5919 5439 5002 4604 4241 3606 3075 2843 2630 9053 .8203 7441 6756 6139 5584 5083 4632 4224 3855 3220 2697 -2472 2267 .8963 8043 .7224 6496 5847 5268 4751 4289 3875 3505 .2875 2366 2149.1954 8874 7885 70146246 5568 4970 4440 3971 3555 3186 2567 2076 1869 1685 .8787 77306810 6006 5303 4688 4150 3677 3262 2897 2292 1821 .1625 1452 .8700 7579 6611 5775 5051 4423 3878 .3405 2992 .2633 2046 1597 .1413 .1252 .8613.7430 6419 5553 .4810 4173 3624 3152 .2745 2394 1827 1401 1229 1079 .8528 .7284 6232 5339 4581 3936 3387 2919 2519 2176 1631 1229 1069 .0930 .8444 .7142 .60505134 4363 3714 3166 2703 2311 1978 1456 1078 0929 0802 8360 7002 5874 4936 4155 3503 2959 2502 2120 1799 13000946 0808 0691 8277 6864 5703 4746 3957 3305 2765 23171945 1635 1161 0829 0703 0596 .8195 .6730 5537 4564 3769 3118 2584 2145 .1784 1486 1037 0728 0611 0514 11 12 13 14 15 16 17 18 19 20 Present Value of an Annuity of $1 Per Period for n Periods: Number of Payments 7% 8 10% 12% 14% 15% 16% 1 2 3 4 5 0.9901 1.9704 2.9410 3.9020 4.8534 0.9804 1.9416 2.8839 3.8077 4.7135 0.9709 1.9135 2.8286 3.7171 4.5797 0.9615 1.8861 27751 3.6299 4.4518 09524 1 8594 2.7232 3 5460 4.3295 0.9434 1.8334 26730 3.4651 42124 09346 1.8080 26243 3.3872 4.1002 0.9259 1.7833 2.5771 3.3121 3.9927 0.9174 1.7591 2.5313 3.2397 3.8897 0.9091 1.7355 2.4869 3.1699 3.7908 0.8929 1.6901 2.4018 3.0373 3.6048 0.8772 1.6467 2.3216 2.9137 3.4331 0.8696 1.6257 2.2832 2.8550 3.3522 0.8621 1.6052 2.2459 2.7982 3.2743 6 7 8 9 10 5.7955 6.7282 7.6517 8 5660 9.4713 5.6014 6.4720 7.3255 8.1622 8.9826 5.2421 60021 6.7327 7.4353 8.1109 5.0757 5.7864 6.4632 7.1078 7.7217 4.9173 5.5824 6.2098 6.8017 7.3601 4.7665 5.3893 59713 6.5152 7.0236 4.6229 5.2064 5.7466 6.2469 6.7101 4.4859 5.0330 5.5348 5.9952 6.4177 43553 4.8684 5.3349 5.7590 6.1446 4.1114 4.5638 4.9676 5.3282 5.6502 3.8887 4.2883 4.6389 4.9464 5.2161 3.7845 4.1604 4.4873 4.7716 5.0188 3.6847 4.0386 4.3436 4.6065 4.8332 5.4172 6.2303 7.0197 7.7861 85302 9 2526 99540 10 6350 11 2961 119379 11 12 13 14 15 10.3676 11.2551 12. 1337 13.0037 13.8651 9.7868 10.5753 11.3484 12.1062 12.8493 8.7605 9.3851 9.9856 10.5631 11.1184 8.3064 8.8633 9 3936 9.8986 103797 7.8869 8.3838 8.8527 9.2950 97122 7.4987 7.9427 8.3577 8.7455 9.1079 7.1390 7.5361 7.9038 8.2442 8.5595 6.8052 7.1607 7.4869 7.7862 8.0607 6.4951 6.8137 7.1034 7.3667 7.6061 5.9377 6.1944 6.4235 6.6282 6.8109 5.4527 5.6603 5.8424 6.0021 6.1422 5.2337 5.4206 5.5831 5.7245 5.8474 5.0286 5.1971 5.3423 5.4675 5.5755 16 17 18 19 20 14.7179 15.5623 16.3983 17.2260 18.0456 13.5777 14.2919 14.9920 15.6785 16.3514 12.5611 13.1661 13.7535 14 3238 14.8775 11.6523 12.1657 12.6593 13.1339 13.5903 10.8378 10.1059 11 2741 10.4773 11 6896 10.8276 12 0853 11.1581 12.4622 11.4699 9.4466 9.7632 10.0591 10.3356 10.5940 8.8514 9.1216 9.3719 9.6036 9.8181 8.3126 8.5436 8.7556 8.9501 9.1285 7.8237 8.0216 8.2014 8.3649 8.5136 6.9740 7.1196 7.2497 7.3658 7.4694 6.2651 6.3729 6.4674 6.5504 66231 5.9542 6.0472 6.1280 6.1982 6.2593 5.6685 5.7487 5.8178 5.8775 5.9288 25 30 40 SO 60 22.0232 25.8077 32.8347 39.1961 44.9550 19.5235 22.3965 27.3555 31.4236 34.7609 17.4131 19.6004 23.1148 25.7298 27.6756 15.6221 17.2920 19.7928 21.4822 22.6235 14 0939 12.7834 153725 13.7648 17 1591 15.0463 18 2559 15.7619 18.9293 16.1614 11.6536 12.4090 13 3317 13 8007 14.0392 10.6748 11.2578 11.9246 12.2335 12.3766 9.8226 10.2737 10.7574 10.9617 11.0480 9.0770 9.4269 9.7791 9.9148 9.9672 7.8431 8.0552 8.2438 8.3045 8.3240 6.8729 7.0027 7.1050 7.1327 7.1401 6.4641 6.5660 6.6418 6.6605 6.6651 6.0971 6.1772 6.2335 6.2463 6.2402Step by Step Solution
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