Question
The YTM on a 6-month $50 par value zero-coupon bond is 18.0%, and the YTM on a 1-year $100 par value zero-coupon bond is 19.6%.
The YTM on a 6-month $50 par value zero-coupon bond is 18.0%, and the YTM on a 1-year $100 par value zero-coupon bond is 19.6%. Furthermore, the YTM on a 1.5-year $100 par value zero-coupon bond is 21.7%, and the YTM on a 2-year $100 par value zero-coupon bond is 23.6%.
These YTMs are semiannual BEYs.
What would be the arbitrage-free price of a 2-year bond with a coupon rate of 20% (semiannual payments) and par value of $10,000?
Assume that this bond is issued by the same company as the zero-coupon bonds.
Round your answer to 2 decimal places. For example, if your answer is 25.689, please write down 25.69.
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