Gestion de Portefeuille: Titres à revenus fixes

FIN 8507

Gestion de Portefeuille : Titres à revenus fixes

Diplôme de 2nd cycle en Finance

Automne 2013

EXERCICES D'APPLICATION

CHAPITRE 2

-1- You observe the current 6 month T-Bill rate is 10% and the one year T-Bill rate is 11%. If

there is an existing 1.5 year 12 coupon bond selling for $1010 what is the annualized 1.5 year

spot rate?

-2- You observe a current 6 month T-Bill yielding 10% and a one year 11% coupon selling for

$990. What is the one year annualized spot rate?

-3- There is one year T-Bill yielding 10% and a two year 11% annual coupon bond selling for

$985. What is the two-year annualized spot rate?

-4- Given the following spot rate curve (we will work this problem on an annual basis):

1=0.083;2=0.09247; 3=0.09787; 4=0.10592. What is the implied 2 year rate 2 years from now?

-5- Given the following spot rate curve (we will work this problem on an annual basis):

1=0.083;2=0.09247; 3=0.09787; 4=0.10592, 5=0.11021. What is the implied 2 year rate 3 years

from now?

-6- You have a 2 year 12% coupon with a price of $1050. If the 6 month T-Bill rate is 4%, the

1year spot rate is 8.4% and the 1.5 year spot rate is 9%. What is the 2 year BEY spot rate?

-7- You know the 1 year theoretical BEY spot rate is 8.3% and you also know the 1.5 year spot

rate is 8.93%. What is the implied six month (1 period) rate one year (2 periods) from now?

-8- You know the 5 years spot rate is 10% and you also know 4 year spot rate is 10.5%. What is

the implied 1 year rate four years from now?

-9- Given the implied forward rates of:

1=0.04; 2=0.04300; 3=0.05098; 4=0.051005.

What is the theoretical 4 period spot rate?

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