固定收益证券地复习计算题

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1、实用文档Fixed-incometreasuryPpt31、公式：PracticeQuestion3.1Supposecurrently,1-yearspotrateis1%andmarketexpectsthat1-yearspotratenextyearwouldbe2%and1-yearspotratein2yearswouldbe3%.Computetoday’s2-yearspotrateand3-yearspotrate.(已做答案）2、CurrentYieldComputethecurrentyieldfora7%8-yearbondwhosepriceis$94.

2、17.Howaboutthecurrentyieldifpriceis$100,$106,respectively?3、uCase3.1Considera7%8-yearbondpayingcouponsemiannuallywhichissoldfor$94.17.Thepresentvalueusingvariousdiscountrateis:A.WhatistheYTMforthisbond?B.Howmuchisthetotaldollarreturnonthisbond?C.Howmuchisthetotaldollarreturnifyouputthesameamo

3、untofdollarsintoadepositaccountwiththesameannualyield?标准文案实用文档4、ForwardRates注：6-monthbillspotrateis3%是年化利率（3%要除以2）1-yearbillspotrateis3.3%是年化利率（3.3%要除以2）标准文案实用文档Ppt41、Fixed‐CouponBondsuPracticeQuestion4.2A.Whatisthevalueofa4-year10%couponbondthatpaysinterestsemiannuallyassumingthattheannualdi

4、scountrateis8%?Whatisthevalueofasimilar10%couponbondwithaninfinitematurity（无期限）?B.Whatisthevalueofa5-yearzero-couponbondwithamaturityvalueof$100discountedatan8%interestrate?C.Computethevaluepar$100ofparvalueofa4-year10%couponbond,assumingthepaymentsareannualandthediscountrateforeachyearis6.8%

5、,7.2%,7.6%and8.0%,respectively.InfinitematurityPv=($100*10%/2)/(8%/2)(半年付息）标准文案实用文档PresentValuePropertiesuPracticeQuestion4.4A.Supposethediscountrateforthe4-year10%couponbondwithaparvalueof$100is8%.Computeitspresentvalue.B.Oneyearlater,supposethatthediscountrateappropriatefora3-year10%couponb

6、ondincreasesfrom8%to9%.RedoyourcalculationinpartAanddecomposethepricechangeattributabletomovingtomaturityandtotheincreaseinthediscountrate.（期限与贴现率变化）标准文案实用文档3、PricingaBondbetweenCouponPaymentsuPracticeQuestion4.6Supposethattherearefivesemiannualcouponpaymentsremainingfora10%couponbond.Alsoass

7、umethefollowing:①Annualdiscountrateis8%②78daysbetweenthesettlementdateandthenextcouponpaymentdate③182daysinthecouponperiodComputethefullpriceofthiscouponbond.Whatisthecleanpriceofthisbond?4、ValuationApproachuCase4.1A.Considera8%10-yearTreasur