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mimithurmond03
08.03.2021 •
Business
You are interested in valuing a 2-year semi-annual corporate coupon bond using spot rates but there are no liquid strips available. However, you do find the following 4 comparable semi-annual bonds (below) maturing over the next 2 years. Using the bootstrap approach, calculate the 12-month spot rate.
Time remaining to maturity Coupon Bond price
6 months 0.000% 99.000
1 year 1.250% 98.000
18 months 1.500% 97.000
2 years 1.250% 96.000
a. 1.668%
b. 3.335%
c. 4.167%
d. 4.189%
e. 4.204%
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Ответ:
Following are the solution to this question:
Explanation:
Assume that
will be a 12-month for the spot rate:
Assume that
will be a 18-month for the spot rate:
Assume that
will be a 18-month for the spot rate:
to solve this we get![r_3=3.335\%](/tpl/images/1177/6036/405a2.png)
Ответ: