Chegg Resident Tutor Experts, Please solve the entirety of this problem Thank yo
ID: 2456421 • Letter: C
Question
Chegg Resident Tutor Experts, Please solve the entirety of this problem Thank you
Take the bond price data given on 50 bonds. Each bond has a face value of $100 and pays the given coupon semi-annually starting at the next coupon payment dates as given. Follow the steps discussed in class to estimate the term structures of discount factors, spot interest rates, and forward interest rates. Coupon is the rate in per cent per year applied to the face value of a bond to determine the annual coupon in dollars, half of which is paid every six months on coupon payment dates. For example, Coupon of 10% for a bond with a face value of $100 will result in $10 in annual coupon and a payment of $5 on each coupon payment date every half year.
Answer the following questions:
1-50: In the simplified bond price equation the coefficients of parameter “a” for the 50 bonds.
51-100: In the simplified bond price equation the coefficients of parameter “b” for the 50 bonds.
101-150: In the simplified bond price equation the coefficients of parameter “c” for the 50 bonds.
151-200: In the simplified bond price equation the left side number for the 50 bonds.
201: Estimated value of “a.”
202: Estimated value of “b.”
203: Estimated value of “c.”
To plot, take 100 values of the term (x-axis) at intervals of .25 year starting at time 0. Then produce the 100 values (y-axis) of discount factor function, forward rate and spot rate functions for the plots. Answer the following:
204-303: Discount factor function values for the 100 different terms .25, .50,….,25.00.
304-403: Forward rate function values for the 100 different terms .25, .50,….,25.00.
404-503: Spot rate function values for the 100 different terms .25, .50,….,25.00.
The project grade will be based on the accuracy of your answers for each question receiving equal weight. Answers without any verbal description are required to be submitted in a two-column spread-sheet with the first column showing the question number and the second column your answers. It is required that you submit all workings attached to your email submission.
Bond QSP NextCoup Coupon YearsMat
1 102.60 0.060 8.00 0.560
2 103.17 0.072 8.60 1.072
3 103.74 0.084 9.20 1.584
4 104.31 0.096 9.80 2.096
5 104.88 0.108 10.40 2.608
6 105.45 0.120 11.00 3.120
7 106.02 0.132 11.60 3.632
8 106.59 0.144 12.20 4.144
9 107.16 0.156 12.80 4.656
10 107.73 0.168 13.40 5.168
11 108.30 0.180 14.00 5.680
12 108.87 0.192 14.60 6.192
13 109.44 0.204 15.20 6.704
14 110.01 0.216 15.80 7.216
15 110.58 0.228 16.40 7.728
16 111.15 0.240 17.00 8.240
17 111.72 0.252 17.60 8.752
18 112.29 0.264 18.20 9.264
19 112.86 0.276 18.80 9.776
20 113.43 0.288 19.40 10.288
21 114.00 0.300 20.00 10.800
22 114.57 0.312 20.60 11.312
23 115.14 0.324 21.20 11.824
24 115.71 0.336 21.80 12.336
25 116.28 0.348 22.40 12.848
26 116.85 0.360 23.00 13.360
27 117.42 0.372 23.60 13.872
28 117.99 0.384 24.20 14.384
29 118.56 0.396 24.80 14.896
30 119.13 0.408 25.40 15.408
31 119.70 0.420 26.00 15.920
32 120.27 0.432 26.60 16.432
33 120.84 0.444 27.20 16.944
34 121.41 0.450 27.80 17.450
35 121.98 0.450 28.40 17.950
36 122.55 0.450 29.00 18.450
37 123.12 0.450 29.60 18.950
38 123.69 0.450 30.20 19.450
39 124.26 0.450 30.80 19.950
40 124.83 0.450 31.40 20.450
41 125.40 0.450 32.00 20.950
42 125.97 0.450 32.60 21.450
43 126.54 0.450 33.20 21.950
44 127.11 0.450 33.80 22.450
45 127.68 0.450 34.40 22.950
46 128.25 0.450 35.00 23.450
47 128.82 0.450 35.60 23.950
48 129.39 0.450 36.20 24.450
49 129.96 0.450 36.80 24.950
50 130.53 0.450 37.40 25.450
Normal Completion
Explanation / Answer
Bond price of first 50 bonds-:
50*100+50*100*10%*6/12 =$5250 (in parameters of 'a')
51-100-
50*100 + 50*100*10%*6/12 = $5250(in parameters of 'b')
101-150
50*100 + 50*100*10%*6/12 = $5250(in parameters of 'c')
151-200
50*100 + 50*100*10%*6/12 = $5250(in parameters of 'd')
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