固定收益证券的复习计算题

固定收益证券的复习计算

题

Last updated on the afternoon of January 3, 2021

F i x e d-i n c o m e t r e a s u r y

Ppt3

1、公式：

Practice Question

Suppose currently, 1-year spot rate is 1% and marketexpects that 1-year spot rate next year would be 2%and 1-year spot rate in 2 years would be 3%. Compute today’s 2-year spot rate and 3-year spot rate.(已做答案）

2、Current Yield

Compute the current yield for a 7% 8-year bond whose price is$. How about the current yield if price is $100, $106,respectively?

3、Case

Consider a 7% 8-year bond paying coupon semiannually which is sold for $. The present value using various discount rate is:

A. What is the YTM for this bond?

B. How much is the total dollar return on this bond?

C. How much is the total dollar return if you put the same amount of dollars into a deposit account with the same annual yield?

4、Forward Rates

注：6-month bill spot rate is 3%是年化利率（3%要除以2）

1-year bill spot rate is %是年化利率（%要除以2）

Ppt4

1、Fixed‐Coupon Bonds

Practice Question

A. What is the value of a 4-year 10% coupon bond that pays interest semiannually assuming that the annual discount rate is 8% What is the value of a similar 10% coupon bond with an infinite maturity （无期限）

B. What is the value of a 5-year zero-coupon bond with a maturity value of $100 discounted at an 8% interest rate?

C. Compute the value par $100 of par value of a 4-year 10% coupon bond, assuming the payments are annual and the discount rate for each year is %, %, % and %, respectively.

Infinite maturity

Pv=($100*10%/2)/(8%/2)

(半年付息）

Present Value Properties

Practice Question

A. Suppose the discount rate for the 4-year 10% coupon bond with a par value of $100 is 8%. Compute its present value.

B. One year later, suppose that the discount rate appropriate for a 3-year 10% coupon bond increases from 8% to 9%. Redo your calculation in part A and decompose the

price change attributable to moving to maturity and to the increase in the discount rate.

（期限与贴现率变化）

3、Pricing a Bond between Coupon Payments

Practice Question

Suppose that there are five semiannual coupon payments remaining for a 10% coupon bond. Also assume the following:

①Annual discount rate is 8%

② 78 days between the settlement date and the next coupon payment date

③182 days in the coupon period

Compute the full price of this coupon bond. What is the clean price of this bond?

4、Valuation Approach

Case

A. Consider a 8% 10-year Treasury coupon bond. What is its fair value if traditional approach is

used, given yield for the 10-year on-the-run Treasury issue is 8%

B. What is the fair value of above Treasury coupon bond if arbitrage-free approach is used, given the following annual spot rates?

C. Which approach is more accurate（准确）

C、Arbitrage-Free Approach is more accurate

Ppt5

2、Convexity

Consider a 9% 20-year bond selling at $ to yield 6%. For a 20 bp change in yield, its