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Fixed Income - In-Class Exercise Problem 1
Fixed Income - In-Class Exercise Problem 1
Fixed Income - In-Class Exercise Problem 1
Question 1
Facial value 50
Coupon rate 2.14%
Days held 73
Convention days 360
Semi-annual, n 2
Quoted at 115.44%
Question 2
1) yield to maturity (continuous compounding)
date 0 t T1 T2 T3 T4 T5
0 0.2027778 0.5 1 1.5 2 2.5
y -0.4836%
Z(t,T_i) 1.001 1.004 1.006 1.009 1.011
CF 0.535 0.535 0.535 0.535 0.535
CF x Z(t,Ti) 0.536 0.537 0.538 0.540 0.541
Price discount 57.937
diff 0.0000
date 0 t T1 T2 T3 T4 T5
0 0.2027778 0.5 1 1.5 2 2.5
y -0.4830%
Z(t,T_i) 1.001 1.004 1.006 1.009 1.011
CF 0.535 0.535 0.535 0.535 0.535
CF x Z(t,Ti) 0.536 0.537 0.538 0.540 0.541
Price discount 57.937
diff 0.000
blem 1
stion 1
stion 2