Q13 Bond Coupon Rate Maturity Par Value YTM 5%

A 0% 15 100 48.10
B 0% 10 100 61.39
C 4% 15 100 89.62
D 8% 10 100 123.16

Q24 Bond Price Today Y1 Y2 Y3

A -934.58 1000 0 0
B -881.66 0 1000 0
C -1118.21 100 100 1100
D -839.62 0 0 1000
Zero-Coupon Bond Portfolio (E) 1100 1100 2100

A+B+E -1105.206
C -1118.21 diff. -13.004

Q25 Maturity 1 2 3 4
Coupon Rate 0.000% 10.000% 6.000% 12.000%
YTM 2.000% 3.908% 5.840% 5.783%
Price 980.3921568627 962.38980637 944.82237339 945.33148048

Q30 Rating AAA AA A BBB

YTM 6.2% 6.3% 6.5% 6.9%

Maturity 5
Face Value 1000
Coupon Rate 6.50%
Payment annual

Capital Requirement10,000,000.00

a. Bond Value ($1,008.36)

b. # bonds 9918
c. Total Cash Received 10,000,878.91

if bond price is 959.54

Rate Err:523
 YTM 6% Variation Variation %
41.73 -6.38 -13.3% Zero Coupon
55.84 -5.55 -9.0% Zero Coupon
80.58 -9.04 -10.1% Discount
133.54 10.37 8.4% Premium

Variation 6% - 5%
6.38 15.3% Most sensititve
5.55 9.9%
9.04 11.2%
10.37 -7.8% Least sensitive

Arbitrage opportunity

BB
7.5%