投資學(xué)10版習(xí)題答案15-文庫吧資料
2025-07-04 18:35本頁面
【正文】 e:222。receive $1,000 face value5$1,The 5year zeros issued at time 0 mature。the issuer pays out $1,000 face value5+$1,100The 5year zeros purchased at time 0 mature。the issuer pays out $1,000 face value4+$1,095The 4year zeros purchased at time 0 mature。 FV = 100。 y2 = = %The price of the coupon bond is: Therefore: yield to maturity for the coupon bond = %[On a financial calculator, enter: n = 2。s curve would be evidence that expected short rates are rising and that the yield curve will shift upward, reducing the holding period return on the fouryear bond. Under the expectations hypothesis, all bonds have equal expected holding period returns. Therefore, you would predict that the HPR for the 4year bond would be %, the same as for the 1year bond.15. The price of the coupon bond, based on its yield to maturity, is:[$120 Annuity factor (%, 2)] + [$1,000 PV factor (%, 2)] = $1,If the coupons were stripped and sold separately as zeros, then, based on the yield to maturity of zeros with maturities of one and two years, respectively, the coupon payments could be sold separately for:The arbitrage strategy is to buy zeros with face values of $120 and $1,120, and respective maturities of one year and two years, and simultaneously sell the coupon bond. The profit equals $ on each bond.16. a. The oneyear zerocoupon bond has a yield to maturity of 6%, as shown below: 222。 FV = $1,。 y realized = %Alternatively, PV = $。 $231,1,$1,$ 180。 FV = $1,000。) = $a. Price = ($60 ) + ($60 ) + ($1,060 ) = $b. To find the yield to maturity, solve for y in the following equation:$ = [$60 Annuity factor (y, 3)] + [$1,000 PV factor (y, 3)]This can be solved using a financial calculator to show that y = %:PV = $。) = $3 81/(180。 Compute i] YTM = %c. The forward rate for next year, derived from the zerocoupon yield curve, is the solution for f 2 in the following equation: 222。 PMT = 9。Chapter 15 The Term Structure of Interest RatesCHAPTER 15: THE TERM STRUCTURE OF INTEREST RATESPROBLEM SETS.1. In general, the forward rate can be viewed as the sum of the market’s expectation of the future short rate plus a potential risk (or liquidity) premium. According to the expectations theory of the term structure of interest rates, the liquidity premium is zero so that the forward rate is equal to the market’s expectation of the future short rate. Therefore, the market’s expectation of future short rates (., forward rates) can be derived from the yield curve, and there is no risk premium for longer maturities.The liquidity preference theory, on the other hand, specifies that the liquidity premium is positive so that the forward rate is greater than the market’s expectation of the future short rate. This could result in an upward sloping term structure even if the market does not anticipate an increase in interest rates. The liquidity preference theory is based on the assumption that the financial markets are dominated by shortterm investors who demand a premium in order to be induced to invest in long maturity securities.2. True. Under the expectations hypothesis, there are no risk premia built into bond prices. The only reason for longterm yields to exceed shortterm yields is an expectation of higher shortterm rates in the future.3. Uncertain. Expectations of lower inflation will usually lead to lower nominal interest rates. Nevertheless, if the liquidity premium is sufficiently great, longterm yields may exceed shortterm yields despite expectations of falling short rates.4.
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