Use the table below to price a 2 -year bond with face value of $100, a 4% coupon rate and semi-annual coupon frequency?
Table 5.2 Forward Rates and Spot Curve on May 5, 2008
able[[Step,Maturity,(c.c.) Forward Rate, able[[Discount],[i_(i)
Use the table below to price a 2-year bond with face value of $100,a 4% coupon rate and semi-annual coupon frequency?
Table 5.2Forward Rates and Spot Curve on May 5,2008
Step Maturity (c.c.) Forward Rate i T. f(0,T-1,T,)(%) 1 0.2500 2.7605 2 0.5000 2.6677 3 0.7500 2.8132 4 1.0000 3.0088 5 1.2500 3.1917 6 1.5000 3.3664 7 1.7500 3.5501 8 2.0000 3.7118 9 2.2500 3.8440 10 2.5000 3.9700 11 2.7500 4.0899 12 3.0000 4.1800 13 3.2500 4.2474 14 3.5000 4.3150 15 3.7500 4.3884 16 4.0000 4.4466 17 4.2500 4.4913 18 4.5000 4.5395 19 4.7500 4.5953 Original Data Source: Bloomberg
Discount
(c.c.) Spot Rate r(0,T,)%) 2.7605 2.7141 2.7471 2.8125 2.8884 2.9680 3.0512 3.1338 3.2127 3.2884 3.3613 3.4295 3.4924 3.5512 3.6070 3.6595 3.7084 3.7546 3.7988
Z0,T100 99.3123 98.6521 97.9607 97.2267 96.4539 95.6456 94.8005 93.9248 93.0265 92.1078 91.1708 90.2230 89.2701 88.3123 87.3487 86.3830 85.4186 84.4546 83.4900