Chapter 14 - Term Structure of Interest Rates
235

In example 6 the total time period over which the interest rate is calculated is 4 72/115 rather than 5 72/115

236

Table 14-2: Treasury Bond Price Calculation should be

    Quote      $10,000 Note
Base Price99.692200$9,969.22
89/181 days accrued interest1.229282$122.93
invoice Price100.921482$10,092.15
Yield to Maturity5.2500% 

238

Above Table 14-3 the paragraph should be:

We calculate the invoice price of the $10,000 note at $9,886.09.

239

In the calculation at the bottom of the page the final payment is $10,225 rather than $10,250 throughout. Yld = 0.05322 is correct.

243

Question 14-2

The question should specify B. Calculate and plot the yield curve under the assumption that the curve is derived solely from expectations.

243

Question 14-3

The question should specify that the bond matures February 15, 2015 and is priced at 95.3878 to settle May 15 2013.