UIN is 56 2 (6 points) Below is the price of a 5 year callable bond and that bond is not callable until year 2 (second interest rate step), You will find an OAS, s, such that callable bond priced off the calibrated forward rate tree equals the market price Note this is also another optimization, because you will want to minimize (PmktP(s))2 as a function of s Report your result to the nearest 1 10 of a basis point The coupon is determined as follows Coupon 4 8 ID 500, where ID is the last 2 digits of your UIN 2 (6 points) Below is the price of a 5 year callable bond and that bond is not callable until year 2 (second interest rate step), You will find an OAS, s, such that callable bond priced off the calibrated forward rate tree equals the market price Note this is also another optimization, because you will want to minimize (PmktP(s))2 as a function of s Report your result to the nearest 1 10 of a basis point The coupon is determined as follows Coupon 4 8 ID 500, where ID is the last 2 digits of your UIN

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UIN is 56 2  (6 points) Below is the price of a 5  year callable bond and that bond is not callable until year 2 (second interest rate step), You will find an OAS, s, such that callable bond priced off the calibrated forward rate tree equals the market price  Note  this is also another optimization, because you will want to minimize (PmktP(s))2 as a function of s  Report your result to the nearest 1 10 of a basis point  The coupon is determined as follows  Coupon  4 8 ID 500, where ID is the last 2 digits of your UIN  2  (6 points) Below is the price of a 5  year callable bond and that bond is not callable until year 2 (second interest rate step), You will find an OAS, s, such that callable bond priced off the calibrated forward rate tree equals the market price  Note  this is also another optimization, because you will want to minimize (PmktP(s))2 as a function of s  Report your result to the nearest 1 10 of a basis point  The coupon is determined as follows  Coupon  4 8 ID 500, where ID is the last 2 digits of your UIN

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UIN is 56 2. (6 points) Below is the price of a 5 -year callable bond and that bond is not callable until year 2

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