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[Problem 5] It is March 14, 2019. Calculate the conversion factor for a bond maturing on August 1, 2033, paying a coupon of 8%. It
[Problem 5] It is March 14, 2019. Calculate the conversion factor for a bond maturing on August 1, 2033, paying a coupon of 8%. It is assumed that the face value is $100 and the discount rate is 6% per annum with semiannual compounding [Problem 6] The most recent settlement bond futures price is 105-16. Which of the following four bonds is cheapest to deliver? A Quoted bond price = 150, conversion factor = 1.4000. B. Quoted bond price = 155; conversion factor = 1.2500. C. Quoted bond price = 172; conversion factor = 1.5200. D. Quoted bond price = 146; conversion factor = 1.3500. [Problem 7] Consider a two-year bond with a face value of $100 and a coupon of 10%, annually paid. Assume that the yield on the bond is 12% per annum with continuous compounding. What is the bond's duration? (10 points) [Problem 5] It is March 14, 2019. Calculate the conversion factor for a bond maturing on August 1, 2033, paying a coupon of 8%. It is assumed that the face value is $100 and the discount rate is 6% per annum with semiannual compounding [Problem 6] The most recent settlement bond futures price is 105-16. Which of the following four bonds is cheapest to deliver? A Quoted bond price = 150, conversion factor = 1.4000. B. Quoted bond price = 155; conversion factor = 1.2500. C. Quoted bond price = 172; conversion factor = 1.5200. D. Quoted bond price = 146; conversion factor = 1.3500. [Problem 7] Consider a two-year bond with a face value of $100 and a coupon of 10%, annually paid. Assume that the yield on the bond is 12% per annum with continuous compounding. What is the bond's duration? (10 points)
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