金融工程03级《固定收入证券》期末考试试卷（A）.doc

文档介绍：武汉大学经济与管理学院2005—2006学年度第二学期
金融工程03级《固定收入证券》期末考试试卷(A)
 
学号                      姓名                       分数                   
 
the following Treasury spot rates(20分):
Peried
Years to maturity
Spot rate
1

%
2


3


4


5


6


7


8


 
Compute the following forward rates:
(1) the 6-month forward rate six months from now.
(2) the 6-month forward rate three years from now.
 
2. Computation of the Total Return for a 7-year, 9% Bond Selling at Par and Held for 5 years: Reinvestment Rate=% (20分)
 
3. (20分)
(1) Given the information below for a %, 18-year pute the price value of a basis point
Price=     yield=5%     price if yield is %=114.