Using the table below showing discount factors, compute the yield to maturity on a bond equivalent basis of a bond paying coupons semiannually at the semiannually compounded rate of 3.5%. Assume the bond matures in exactly two years. Hint: Using solver or an associated function is a good step to complete this problem.
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In performing profit and loss attribution, which of the foll…
In performing profit and loss attribution, which of the following best defines the carry-roll-down?
At the beginning of a reset period, the variable reference r…
At the beginning of a reset period, the variable reference rate set in advanced and paid in arrears for a plain vanilla fixed-for-floating swap was set at 1.5%. The notional principal is $1,000,000. Assuming the period had 90 days in a 360 day year, the interest payment on the floating leg is:
Which of the following statements about the US Treasury Bond…
Which of the following statements about the US Treasury Bond Market is least accurate?
You buy $100,000 face value of a 10-year Treasury note matur…
You buy $100,000 face value of a 10-year Treasury note maturing 8/15/2034. The coupon rate is 4.5% and the yield-to-maturity is 5.00%. What is the value of the final cash flow to be received on 8/15/2034?
You see two bonds with the quotes below. Assuming both bond…
You see two bonds with the quotes below. Assuming both bonds have no confounding factors, set up an arbitrage opportunity where a riskless profit is captured today and the portfolio self-liquidates at maturity. Compute the net cash flow (the difference between the long position and the short position) at time 0 upon setting up this trade. Assume $10,000,000 par.
If a bond is the cheapest-to-deliver in a futures contract w…
If a bond is the cheapest-to-deliver in a futures contract with certainty at expiration, then the net basis will be:
Consider a Treasury Bill that matures in 6 months – exactly…
Consider a Treasury Bill that matures in 6 months – exactly one-half of a year. The price of this bill is 97.8. What is the semi-annually compounded yield on this security?
You see the following discount factors in the table below….
You see the following discount factors in the table below. What is the price per 100 par of a bond paying semiannual coupons at a semiannually compounded rate of 3.875% maturing in three years?
Assume today is February 13, 2025. The 4.25% November 15, 20…
Assume today is February 13, 2025. The 4.25% November 15, 2034 note with yield to maturity 4.680% sells for a price of 96.631 per 100 par. What is the accrued interest of this note as of today per 100 par?