金融市场与机构计算题.doc

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1、7.Theone-yearinterestrateoverthenext10yearswillbe3%,4.5%,6%,7.5%,9%,10.5%,13%,14.5%,16%,17.5%.Usingthepureexpectationstheory,whatwillbetheinterestratesona3yearbond,6yearbond,and9yearbond?Solution:3yearbond=[(3+4.5+6)]/(3)=4.5%6yearbond=[(3+4.5+6+7.5+9+10.5)]/(6)=6.75%9yearbond=[(3+4.5+6+7.5+

2、9+10.5+13+14.5+16)]/(9)=9.333%12.OneyearT-billratesoverthenext4yearsareexpectedtobe3%,4%,5%,&5.5%.If4-yearT-bondsareyielding4.5%,whatistheliquiditypremiumonthisbond?Solution:4.5%=(3%+4%+5%+5.5%)/4+LP4.5%=4.375%+LP0.125%=LP15.Theexpectedone-yearinterestratetwoyearsfromnowis=[(1+i3t-k3t)3/(1+i

3、2t-k2t)2]-1=[(1+0.06-0.0035)3/(1+0.05-0.0025)2]-1=7.5%.5.Thepriceof182-daycommercialpaperis$7,840.Iftheannualizedinvestmentrateis4.093%,whatwillthepaperpayatmaturity?Solution:LetB=whatwillbepaidatmaturity8.SupposeMicrosoft,Inc.istradingat$27.29pershare.Itpaysanannualdividendof$0.32pershare,w

4、hichisdoubleitslastyear’sdividendof$0.16pershare.Ifthistrendisexpectedtocontinue,whatistherequiredreturnonMicrosoft?Solution: or ke=102%.14.Aone-yearCDinEuropeiscurrentlypaying5%,andtheexchangerateiscurrently0.99eurosperdollar.Ifyoubelievetheexchangeratewillbe1.04eurosperdollaroneyearfromnow

5、,whatistheexpectedreturnintermsofdollars?Solution:Expectedreturn=0.05-((1.04-0.99)/0.99)=5%-5.05%=-0.05%