Take the bond price data given below on 50 bonds. Each bond has a face value of $100 and pays the given coupon semi-annually starting at the next coupon payment dates as given. Follow the steps discussed in class to estimate the term structures of discount factors, spot interest rates, and forward interest rates. Coupon is the rate in per cent per year applied to the face value of a bond to determine the annual coupon in dollars, half of which is paid every six months on coupon payment dates. For example, Coupon of 10% for a bond with a face value of $100 will result in $10 in annual coupon and a payment of $5 on each coupon payment date every half year.

Answer the following questions:

1-50: In the simplified bond price equation the coefficients of parameter a for the 50 bonds.

51-100: In the simplified bond price equation the coefficients of parameter b for the 50 bonds.

101-150: In the simplified bond price equation the coefficients of parameter c for the 50 bonds.

151-200: In the simplified bond price equation the left side number for the 50 bonds.

201: Estimated value of a.

202: Estimated value of b.

203: Estimated value of c.

To plot, take 100 values of the term (x-axis) at intervals of .25 year starting at time 0. Then produce the 100 values (y-axis) of discount factor function, forward rate and spot rate functions for the plots. Answer the following:

204-303: Discount factor function values for the 100 different terms .25, .50,.,25.00.

304-403: Forward rate function values for the 100 different terms .25, .50,.,25.00.

404-503: Spot rate function values for the 100 different terms .25, .50,.,25.00.

Bond QSP NextCoup Coupon YearsMat

1 117.42 0.372 23.60 0.872

2 117.99 0.384 24.20 1.384

3 118.56 0.396 24.80 1.896

4 119.13 0.408 25.40 2.408

5 119.70 0.420 26.00 2.920

6 120.27 0.432 26.60 3.432

7 120.84 0.444 27.20 3.944

8 121.41 0.450 27.80 4.450

9 121.98 0.450 28.40 4.950

10 122.55 0.450 29.00 5.450

11 123.12 0.450 29.60 5.950

12 123.69 0.450 30.20 6.450

13 124.26 0.450 30.80 6.950

14 124.83 0.450 31.40 7.450

15 125.40 0.450 32.00 7.950

16 125.97 0.450 32.60 8.450

17 126.54 0.450 33.20 8.950

18 127.11 0.450 33.80 9.450

19 127.68 0.450 34.40 9.950

20 128.25 0.450 35.00 10.450

21 128.82 0.450 35.60 10.950

22 129.39 0.450 36.20 11.450

23 129.96 0.450 36.80 11.950

24 130.53 0.450 37.40 12.450

25 131.10 0.450 38.00 12.950

26 131.67 0.450 38.60 13.450

27 132.24 0.450 39.20 13.950

28 132.81 0.450 39.80 14.450

29 133.38 0.450 40.40 14.950

30 133.95 0.450 41.00 15.450

31 134.52 0.450 41.60 15.950

32 135.09 0.450 42.20 16.450

33 135.66 0.450 42.80 16.950

34 136.23 0.450 43.40 17.450

35 136.80 0.450 44.00 17.950

36 137.37 0.450 44.60 18.450

37 137.94 0.450 45.20 18.950

38 138.51 0.450 45.80 19.450

39 139.08 0.450 46.40 19.950

40 139.65 0.450 47.00 20.450

41 140.22 0.450 47.60 20.950

42 140.79 0.450 48.20 21.450

43 141.36 0.450 48.80 21.950

44 141.93 0.450 49.40 22.450

45 142.50 0.450 50.00 22.950

46 143.07 0.450 50.60 23.450

47 143.64 0.450 51.20 23.950

48 144.21 0.450 51.80 24.450

49 144.78 0.450 52.40 24.950

50 145.35 0.450 53.00 25.450