5) The following table contains data to calculate forward rates using pure expectations theory. a) Find the yield on a 20 year bond, 10 years forward (1020). b) Find the yield on a 5 year bond, 2 years forward (2rs). Maturity 1 year Yield 4.73% 2 years 4.375% 3 years 4.25% 5 years 4.125% 7 years 4.00% 10 years 2.75% 20 years 3.375% 30 years 3.00%
5) The following table contains data to calculate forward rates using pure expectations theory. a) Find the yield on a 20 year bond, 10 years forward (1020). b) Find the yield on a 5 year bond, 2 years forward (2rs). Maturity 1 year Yield 4.73% 2 years 4.375% 3 years 4.25% 5 years 4.125% 7 years 4.00% 10 years 2.75% 20 years 3.375% 30 years 3.00%
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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The following table contains data to calculate forward rates using pure expectations theory. a) Find the yield on a 20 year bond, 10 years forward (10r20). b) Find the yield on a 5 year bond, 2 years forward (2r5). \table[[Maturity,Yield],[1 year,4.73% DO NOT ROUND UNTIL FINAL ANSWER. ROUND FINAL ANSWER TO 4 DECIMAL PLACES. SHOW ALL WORK AND FORMULAS IN EXCEL.
Transcribed Image Text:5) The following table contains data to calculate forward rates using pure expectations theory.
a) Find the yield on a 20 year bond, 10 years forward (1020).
b) Find the yield on a 5 year bond, 2 years forward (2rs).
Maturity
1 year
Yield
4.73%
2 years
4.375%
3 years
4.25%
5 years
4.125%
7 years
4.00%
10 years
2.75%
20 years
3.375%
30 years
3.00%
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