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[DOC File]Introduction - Fuqua School of Business
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1 year T-note – 3 month T-bill In addition, we obtained data on the S&P 500 return from April 1953 to January 2002 and S&P 500 P/E ratio from January 1968 to January 2002. Finally, we obtained data on United Kingdom and Germany’s monthly yield curve (to be used for our final analysis utilizing logistic regression).
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[DOC File]Quantitative Problems Chapter 5
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6. 1-year T-bill rates are expected to steadily increase by 150 basis points per year over the next 6 years. Determine the required interest rate on a 3-year T-bond and a 6-year T-bond if the current 1-year interest rate is 7.5%. Assume that the Pure Expectations Hypothesis for interest rates holds. Solution: 3 year bond: year 1 interest rate 7.5%
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[DOCX File]Invoice Prices and T-Bill Quotes - Tulane University
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Corporate Bonds – 30 days/month and 360 days/year. Money Market Instruments – actual days in a month but 360 days/year. Example: An 8% 5 yr Treasury note due 5/15/02 has a YTM of 7%. Its price is 101.496. The coupon period between 5/15/00 and 11/15/00 had 184 days. The next coupon period 11/15/00 – 5/15/01 had 181 days.
5 year treasury interest rate

[DOC File]CHAPTER 5
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If the yield curve has a steep upward slope, the calculated market risk premium would be larger if the 30-day T-bill rate were used as the risk-free rate than if the 30-year T-bond rate were used as kRF. d. Statements a and b are correct. e. Statements a and c are correct.
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[DOCX File]Implied Forward Rates - Tulane University
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6-mo T-bill Yield = 5.0%. 1-yr T-bill Yield = 5.2%. These are current Bond Equivalent Yield quotes. The semiannual yields are 2.5% and 2.6% (BEY/2) If you have funds to invest for one year, which is the better way to go: buy the 1-yr T-bill or buy the 6mo T-bill and reinvest in another 6-month T-bill in 6 months?
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[DOC File]Soln Ch 13 Bond prices
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1. a. Effective annual rate for 3-month T-bill: b. Effective annual interest rate for coupon bond paying 5% semiannually: (1.05)2 – 1 = 0.1025 or 10.25%. Therefore the coupon bond has the higher effective annual interest rate. 2. The effective annual yield on the semiannual coupon bonds is 8.16%.
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[DOCX File]Homework Assignment – Week 2
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A 10-year, 7% coupon bond with a face value of $1,000 is currently selling for $871.65. Coupon your rate of return if you sell the bond next year for $880.10. You have paid $980.30 for an 8% coupon bond with a face value of $1,000 that matures in 5 years. You plan on holding the bond for 1 year.
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T bill 5 year