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UW Möbius - Assignment #2

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19 views4 pages

UW Möbius - Assignment #2

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zhiqingshan233
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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MATBUS 471 - Spring 2023, Assignment #2


Zhiqing Shan, 5/22/23 at 9:09:49 AM EDT

Question1: Score 0/1

Suppose the 6 month spot rate is 10%, and also suppose a 1


year 14.8% coupon bond is worth $1,047.41 (based on
semiannual coupons and $1000 face value). Find the one year
(zero-coupon) spot rate (express in BEY).

Your response Correct response


`12 9.700548±0.01
Auto graded Grade: 0/1.0 
%

 Total grade: 0.0×1/1 = 0%

Question2: Score 0/1

Suppose the six month spot rate is 11.2% and the six month
forward rate beginning in six months is 11.3%. What is the
price of a 1 year bond paying a coupon of 11.7%? Assume
coupons are paid semiannually and the face value of the bond
is $1,000. Assume rates are expressed BEY. (Answer in dollars)

Your response Correct response


123 1,004.16008±0.01
Auto graded Grade: 0/1.0 

 Total grade: 0.0×1/1 = 0%

Question3: Score 0/1


Suppose we are given the following yield curve (all rates
expressed in annual compounding.)

Term Rate (%)


1 year 5.7

2 year 6.0

3 year 5.8

Suppose a 6.7% 3-year bond is trading at 101.773 (assume


annual coupons). Find the z -spread. (Answer in basis points
expressed to the nearest basis point.)

Your response Correct response


89 23±1
Auto graded Grade: 0/1.0 
bps

 Total grade: 0.0×1/1 = 0%

Question4: Score 0/1


Find the 3 year par yield, assuming the zero-coupon year curve
is as follows: (All rates are expressed in annual
compounding in this question)

Maturity Rate
1 year 9.9%
2 year 11.6%
3 year 13.4%

Your response Correct response


4.396 13.101835±0.01
Auto graded Grade: 0/1.0 
%

 Total grade: 0.0×1/1 = 0%

Question5: Score 0/1


Find the price of a 3 year bond paying an annual coupon of
2.6%. Assume a face value of $1,000 and assume the zero-
coupon year curve is as follows: ( All rates are expressed in
annual compounding in this question)(Answer in
dollars)

Maturity Rate
1 year 7.4%
2 year 9%
3 year 10.2%

Your response Correct response


123 812.751844±0.01
Auto graded Grade: 0/1.0 

 Total grade: 0.0×1/1 = 0%

Question6: Score 0/1

Suppose the yield curve is increasing and the 1 and 4 year spot
yields are as follows:

Maturity Spot Yield


1 year 6.4%
4 year 9%

The most likely value of the 4 year par yield is

Your response Correct response


6.15% 8.78%
Auto graded Grade: 0/1.0 

 Total grade: 0.0×1/1 = 0%

Question7: Score 0/1


Suppose the 8 year spot rate is 10.4% and the one year
forward rate over year 9 is 9.6%. Find the 9 year spot rate.
Assume all rates are expressed in annual compounding.

Your response Correct response


123 10.310823±0.01
Auto graded Grade: 0/1.0 
%

 Total grade: 0.0×1/1 = 0%

Question8: Score 0/1

Suppose we have the following table of yields on government


benchmark bonds.

Maturity Rate
2-year 2%
5-year 2.3%
10-year 2.8%
20-year 3%

Suppose a 17.25 year corporate bond has a YTM of 7.55%.


Find its I-spread. Answer in basis points.

Your response Correct response


123 460±0.01
Auto graded Grade: 0/1.0 

 Total grade: 0.0×1/1 = 0%

Question9: Score 0/1

Suppose an investor beleives the following statement about the


yield curve

"A commercial bank needs to be offered additional yield


to hold long dated bonds that do not match their
liabilities"

Then the investor most likely believes:

Your response Correct response


The Pure Expectations Theory The Market Segmentation Theory
Auto graded Grade: 0/1.0 

 Total grade: 0.0×1/1 = 0%

Question10: Score 1/1

Assuming no change in interest rates, if the price of a bond


decreases then its Z-spread will increase.

Your response Correct response


True True
Auto graded Grade: 1/1.0 
 Total grade: 1.0×1/1 = 100%

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