Problem
Suppose that the continuously compounded, annualized yields-to-maturity on 6m, 1y, 18m, 2y, 30m, and 3y zero-coupon bonds are currently 4.4%, 4.7%, 4.9%, 5.1%, 5.1%, and 5.0% respectively.
1. Compute the current price of the six zero-coupon bonds (expressed per $100 of face value).
2. If the two-year bond realizes a continuously compounded return of -2.40% from time 0 until time t1 = 1 year, what will this bond's semi-annually compounded return from t1 = 1 year to t2 = 2 years be?
3. Compute the current price and the annualized yield to maturity of a 3-year, 9% coupon bond paid semi-annually with a face value of $10,000.