_ _[
ASSIGNMENirt 2 SEMESl
r r
1 ER
11_
1
• • lll:l: aues711mNs P1111:1:.v ANFWERED
1
DUE: APRIL 2D26
DISCLAIMER:
- THI$ DOCUME~ 15 FDlrREFERENCE ANDllUl f'NCE PURP SES
ACADEMIC MIS DNDUCT RESULTING FROM THEIR USE. IT I YOUR
RESPONSIBILITY T~ ENSU~E DRIGINAL~TY AN~ CDMPL!IANCE WITH
l ---
ONLY. I DD NOT TA E RESPDNSIBIL!ITY !FDR AN~ PLAGIARI M, ~MISUSE, DR
RELEVAr GUllr r s DR r TDT D, . l === 1
~l-..1.
, PLEASE USE THIS DOCUMENT AS A GUIDE ONLY
Question 1
1.. ldent ify Sp ot Rates
1
The yields. of the,.zero-coupon severe i'gn bonds represent the spot rates ( • t). for ,each
maturiity:
• 1-year spot: rate(, ·1): From Bond B, s1 = 2.3. •0 %
• 2-ye.arr .s pot r,a te ( • 2): From Bond D. . = .2.500%
2. Ca1k IJ~ate the Fairr IPrice of Bond C
1
Bondi Chas.a .2-y.ear 1ma urity a1nd a 1• % annu.al coupon. Using the spot rrates iits fair
(arbitrage-free) price per .· 100 face va1lue is:
Pri . . e
)•
u· - - -1.-0-2:-.5-0 +1
2
ASSIGNMENirt 2 SEMESl
r r
1 ER
11_
1
• • lll:l: aues711mNs P1111:1:.v ANFWERED
1
DUE: APRIL 2D26
DISCLAIMER:
- THI$ DOCUME~ 15 FDlrREFERENCE ANDllUl f'NCE PURP SES
ACADEMIC MIS DNDUCT RESULTING FROM THEIR USE. IT I YOUR
RESPONSIBILITY T~ ENSU~E DRIGINAL~TY AN~ CDMPL!IANCE WITH
l ---
ONLY. I DD NOT TA E RESPDNSIBIL!ITY !FDR AN~ PLAGIARI M, ~MISUSE, DR
RELEVAr GUllr r s DR r TDT D, . l === 1
~l-..1.
, PLEASE USE THIS DOCUMENT AS A GUIDE ONLY
Question 1
1.. ldent ify Sp ot Rates
1
The yields. of the,.zero-coupon severe i'gn bonds represent the spot rates ( • t). for ,each
maturiity:
• 1-year spot: rate(, ·1): From Bond B, s1 = 2.3. •0 %
• 2-ye.arr .s pot r,a te ( • 2): From Bond D. . = .2.500%
2. Ca1k IJ~ate the Fairr IPrice of Bond C
1
Bondi Chas.a .2-y.ear 1ma urity a1nd a 1• % annu.al coupon. Using the spot rrates iits fair
(arbitrage-free) price per .· 100 face va1lue is:
Pri . . e
)•
u· - - -1.-0-2:-.5-0 +1
2
