投資學(xué)10版習(xí)題答案15(編輯修改稿)
2025-07-25 18:35 本頁(yè)面
【文章內(nèi)容簡(jiǎn)介】 . The profit equals $ on each bond.16. a. The oneyear zerocoupon bond has a yield to maturity of 6%, as shown below: 222。 y1 = = %The yield on the twoyear zero is %, as shown below: 222。 y2 = = %The price of the coupon bond is: Therefore: yield to maturity for the coupon bond = %[On a financial calculator, enter: n = 2。 PV = –。 FV = 100。 PMT = 12]b. c. Expected price(Note that next year, the coupon bond will have one payment left.)Expected holding period return = This holding period return is the same as the return on the oneyear zero.d. If there is a liquidity premium, then: E(r2) f 2E(Price) = E(HPR) 6%17. a. We obtain forward rates from the following table:MaturityYTMForward RatePrice (for parts c, d)1 year10%$1,000/ = $2 years11%() – 1 = %$1,000/ = $3 years12%() – 1 = %$1,000/ = $b. We obtain next year’s prices and yields by discounting each zero’s face value at the forward rates for next year that we derived in part (a):MaturityPriceYTM1 year$1,000/ = $%2 years$1,000/( ) = $%Note that this year’s upward sloping yield curve implies, according to the expectations hypothesis, a shift upward in next year’s curve. c. Next year, the 2year zero will be a 1year zero, and will therefore sell at a price of: $1,000/ = $Similarly, the current 3year zero will be a 2year zero and will sell for: $Expected total rate of return:2year bond: 3year bond: d. The current price of the bond should equal the value of each payment times the present value of $1 to be received at the “maturity” of that payment. The present value schedule can be taken directly from the prices of zerocoupon bonds calculated above.Current price = ($120 ) + ($120 ) + ($1,120 ) = $ + $ + $ = $1,Similarly, the expected prices of zeros one year from now can be used to calculate the expected bond value at that time:Expected price 1 year from now = ($120 ) + ($1,120 ) = $ + $ = $Total expected rate of return = 18. a.Maturity (years)PriceYTMForward Rate1$%2%345 b. For each 3year zero issued today, use the proceeds to buy:$$ = fouryear zerosYour cash flows are thus as follows:TimeCash Flow0$ 03$1,000The 3year zero issued at time 0 matures。the issuer pays out $1,000 face value4+$1,095The 4year zeros purchased at time 0 mature。receive face valueThis is a synthetic oneyear loan originating at time 3. The rate on the synthetic loan is = %, precisely the forward rate for year 4.c. For each 4year zero issued today, use the proceeds to buy:$$ = fiveyear zerosYour cash flows are thus as follows:TimeCash Flow0$ 04$1,000The 4year zero issued at time 0 matures。the issuer pays out $1,000 face value5+$1,100The 5year zeros purchased at time 0 mature。receive face valueThis is a synthetic oneyear loan originating at time 4. The rate on the synthetic loan is = %, precisely the forward rate for year 5.19. a. For each threeyear zero you buy today, issue:$$ = fiveyear zerosThe time0 cash flow equals zero.b. Your cash flows are thus as follows:TimeCash Flow0$ 03+$1,The 3year zero purchased at time 0 matures。receive $1,000 face value5$1,The 5year zeros issued at time 0 mature。issuer pays face valueThis is a synthetic twoyear loan originating at time 3.c. The effective twoyear interest rate on the forward loan is:$1,$1,000 1 = = % d. The oneyear forward rates for years 4 and 5 are % and 10%, respectively. Notice that:
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