参阅hillier waquar ahmad问题周债券教程大三上tutorial 6.pdfVIP

Problem1

TheoutstandingbondsofTheRiverFrontFerry

carrya6.5percentcoupon.Thebondshaveaface

valueof$1,000andarecurrentlyedat101.6.

Whatisthecurrentyieldonthesebonds?

YearlyCoupon=6.5%of1,000=$65

CurrentPrice=101.6%of1,000=$1,016

CurrentYield=YearlyCoupon/CurrentPrice

=$65/$1,016=0.0639=6.4%

Problem2

OilWellSupplyoffers7.5percentcouponbonds

withsemiannualpaymentsandayieldtomaturity

of7.68percent.Thebondsmaturein6years.What

isthemarketpriceperbondifthefacevalueis

$1,000?

C=(7.5/2)*1000/100=$37.5

R=YTM/2=7.68/2=3.84=0.0384

T=N*2=6*2=12

P0=37.5*({1–[1/(1+0.0384)]12}/0.0384)+

{1,000*[1/(1+0.0384)12]}

=$991.47

Problem3

BondXisapremiumbondmakingannual

payments.Thebondpaysan8percentcoupon,has

aYTMof6percent,andhas13yearstomaturity.

BondYisadiscountbondmakingannualpayments.

Thisbondpaysa6percentcoupon,hasaYTMof8

percent,andalsohas13yearstomaturity.

Ifinterestratesremainunchanged,whatdoyou

expectthepriceofthesebondstobeoneyearfrom

now?Inthreeyears?Ineightyears?In12years?

What’sgoingonhere?

Problem3:BondX

P=C(PVIFAR%,t)+1,000(PVIFR%,t)

ForX:

P1=80(PVIFA6%,12)+1,000(PVIF6%,12)=1,167.68

P3=80(PVIFA6%,10)+1,000(PVIF6%,10)=1,147.20

P8=80(PVIFA6%,5)+1,000(PVIF6%,5)=1,084.25

P12=80(PVIFA6%,1)+1,000(PVIF6%,1)=1,018.87

Problem3:BondY

P=C(PVIFAR%,t)+1,000(PVIFR%,t)

ForY:

P1=60(PVIFA8%,12)+1,000(PVIF8%,12)