The table below lists the terms to maturity, the coupon rates, coupon payment dates and yields to maturity for three UK government bonds at the close of business on 7th January 2018. Gilts Prices Close of Business 7th January 2018 Maturity Date Coupon Rate Coupon Payment Dates Yield to Maturity 07/04/2022 3.75% 7th April, 7th October 0.784735% 20/08/2027 1.70% 20th February, 20th August 1.394042% 07/06/2035 4.00% 7th June, 7th December 1.868424% The coupon rates are quoted as annual rates. But UK government bonds divide the annual coupon into two equal instalments payable every six months. Work out the time periods to maturity, the periodic coupons and the periodic yields for each of the three bonds. Use the information to calculate the clean price of each bond. Your mathematical workings should be clearly outlined in your written presentation.
The table below lists the terms to maturity, the coupon rates, coupon payment dates and yields to maturity for three UK government bonds at the close of business on 7th January 2018. Gilts Prices Close of Business 7th January 2018 Maturity Date Coupon Rate Coupon Payment Dates Yield to Maturity 07/04/2022 3.75% 7th April, 7th October 0.784735% 20/08/2027 1.70% 20th February, 20th August 1.394042% 07/06/2035 4.00% 7th June, 7th December 1.868424% The coupon rates are quoted as annual rates. But UK government bonds divide the annual coupon into two equal instalments payable every six months. Work out the time periods to maturity, the periodic coupons and the periodic yields for each of the three bonds. Use the information to calculate the clean price of each bond. Your mathematical workings should be clearly outlined in your written presentation.
Chapter8: Relationships Among Inflation, Interest Rates, And Exchange Rates
Section: Chapter Questions
Problem 1IEE
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Question
The table below lists the terms to maturity, the coupon rates, coupon payment dates and yields to maturity for three UK government bonds at the close of business on 7th January 2018.
|
Gilts Prices Close of Business 7th January 2018 |
|||
|
Maturity Date |
Coupon Rate |
Coupon Payment Dates |
Yield to Maturity |
|
07/04/2022 |
3.75% |
7th April, 7th October |
0.784735% |
|
20/08/2027 |
1.70% |
20th February, 20th August |
1.394042% |
|
07/06/2035 |
4.00% |
7th June, 7th December |
1.868424% |
The coupon rates are quoted as annual rates. But UK government bonds divide the annual coupon into two equal instalments payable every six months.
- Work out the time periods to maturity, the periodic coupons and the periodic yields for each of the three bonds. Use the information to calculate the clean price of each bond. Your mathematical workings should be clearly outlined in your written presentation.
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