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1、【精品文档】如有侵权，请联系网站删除，仅供学习与交流金融市场与机构计算题.精品文档.7.The one-year interest rate over the next 10 years will be 3%, 4.5%, 6%, 7.5%, 9%, 10.5%, 13%, 14.5%, 16%, 17.5%. Using the pure expectations theory, what will be the interest rates on a 3 year bond, 6 year bond, and 9 year bond?Solution:3 year bond = (3 +
2、4.5 + 6)/(3) = 4.5%6 year bond = (3 + 4.5 + 6 + 7.5 + 9 + 10.5)/(6) = 6.75%9 year bond = (3 + 4.5 + 6 + 7.5 + 9 + 10.5 + 13 + 14.5 + 16)/(9) = 9.333%12.One year T-bill rates over the next 4 years are expected to be 3%, 4%, 5%, & 5.5%. If 4-year T-bonds are yielding 4.5%, what is the liquidity premiu
3、m on this bond?Solution:4.5% = (3% + 4% + 5% + 5.5%)/4 + LP4.5% = 4.375% + LP0.125% = LP15.The expected one-year interest rate two years from now is = (1 + i3t - k3t)3/(1 + i2t - k2t)2 - 1= (1 + 0.06 - 0.0035)3/(1 + 0.05 - 0.0025)2 - 1= 7.5%. 5.The price of 182-day commercial paper is $7,840. If the
4、 annualized investment rate is 4.093%, what will the paper pay at maturity? Solution:Let B = what will be paid at maturity8.Suppose Microsoft, Inc. is trading at $27.29 per share. It pays an annual dividend of $0.32 per share, which is double its last years dividend of $0.16 per share. If this trend
5、 is expected to continue, what is the required return on Microsoft?Solution: orke = 102%.14.A one-year CD in Europe is currently paying 5%, and the exchange rate is currently 0.99 euros per dollar. If you believe the exchange rate will be 1.04 euros per dollar one year from now, what is the expected return in terms of dollars?Solution:Expected return = 0.05 - (1.04 - 0.99)/0.99)= 5% - 5.05% = -0.05%