FIN415 UIC Estimating The Term Structure Finance Project Help

FIN415 UIC Estimating The Term Structure Finance Project Help

Project for Estimat

in
g the Term Structure

Take the bond price data given for your UIN below on 50 bonds.Each bond has a face value of $100 and pays the given coupon semi-annually start

in
g at the next coupon payment dates as given.Follow the steps discussed

in
class to estimate the term structures of discount factors, spot

in
terest rates, and forward

in
terest rates.Coupon is the rate in per cent per year applied to the face value of a bond to determine the annual coupon in dollars, half of which is paid every six months on coupon payment dates.For example, Coupon of 10% for a bond with a face value of $100 will result in $10 in annual coupon and a payment of $5 on each coupon payment date every half year.

Answer the follow

in
g questions:

1-50: In the simplified bond price equation the coefficients of parameter “a” for the 50 bonds.

51-100: In the simplified bond price equation the coefficients of parameter “b” for the 50 bonds.

101-150: In the simplified bond price equation the coefficients of parameter “c” for the 50 bonds.

151-200: In the simplified bond price equation the left side number for the 50 bonds.

201: Estimated value of “a.”

202: Estimated value of “b.”

203: Estimated value of “c.”

To plot, take 100 values of the term (x-axis) at

in
tervals of .25 year start

in
g at time 0.Then produce the 100 values (y-axis) of discount factor function, forward rate and spot rate functions for the plots.Answer the follow

in
g:

204-303: Discount factor function values for the 100 different terms .25, .50,….,25.00.

304-403: Forward rate function values for the 100 different terms .25, .50,….,25.00.

404-503: Spot rate function values for the 100 different terms .25, .50,….,25.00.

The project grade will be based on the accuracy of your answers for each question receiv

in
g equal weight.Answers without any verbal description are required to be submitted in a two-column spread-sheet with the first column showing the question number and the second column your answers, attached to an e-mail to before the due date.Provide your name and UIN in the email.It is required that you submit all workings attached to your email submission.

For UIN 652055035

BondQSPNextCoupCouponYearsMat

1104.310.0969.800.596

2104.880.10810.401.108

3105.450.12011.001.620

4106.020.13211.602.132

5106.590.14412.202.644

6107.160.15612.803.156

7107.730.16813.403.668

8108.300.18014.004.180

9108.870.19214.604.692

10109.440.20415.205.204

11110.010.21615.805.716

12110.580.22816.406.228

13111.150.24017.006.740

14111.720.25217.607.252

15112.290.26418.207.764

16112.860.27618.808.276

17113.430.28819.408.788

18114.000.30020.009.300

19114.57 0.31220.609.812

20115.140.32421.2010.324

21115.710.33621.8010.836

22116.280.34822.4011.348

23116.850.36023.0011.860

24117.420.37223.6012.372

25117.990.38424.2012.884

26118.560.39624.8013.396

27119.130.40825.4013.908

28119.700.42026.0014.420

29120.270.43226.6014.932

30120.840.44427.2015.444

31121.410.45027.8015.950

32121.980.45028.4016.450

33122.550.45029.0016.950

34123.120.45029.6017.450

35123.690.45030.2017.950

36124.260.45030.8018.450

37124.830.45031.4018.950

38125.400.45032.0019.450

39125.970.45032.6019.950

40126.540.45033.2020.450

41127.110.45033.8020.950

42127.680.45034.4021.450

43128.250.45035.0021.950

44128.820.45035.6022.450

45129.390.45036.2022.950

46129.960.450 36.8023.450

47130.530.45037.4023.950

48131.100.45038.0024.450

49131.670.45038.6024.950

50132.240.45039.2025.450

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