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Figure 8.4 Sample Wall Street Journal U.S. Treasury Bond Prices Maturity 11/15/2018 3/31/2019 3/15/2020 10/31/2021 2/15/2023 5/15/2024 8/15/2027 11/15/2028 2/15/2029 2/15/2036 5/15/2037 5/15/2038 2/15/2039 11/15/2039 5/15/2040 8/15/2040 11/15/2041 5/15/2042 8/15/2042 11/15/2042 2/15/2043 5/15/2043 5/15/2044 11/15/2044 2/15/2045 5/15/2045 8/15/2045 11/15/2045 5/15/2046 11/15/2046 5/15/2047 8/15/2047 Bld 3.75 102.7266 1.625 100.3828 1.625 100.3516 1.25 98.0469 7.125 126.8516 102.7969 Coupon 2.5 6.375 137.0625 5.25 129.1328 5.25 129.5469 129.7578 137.8594 130.2656 4.5 5 4.5 113.8672 3.5 4.375 128.4063 4.375 128.5781 3.875 119.9922 3.125 106.8203 104.4063 99.7188 99.6484 3 2.75 2.75 3.125 106.4844 2.875 101.7344 111.1953 3.375 3 2.5 103.9375 94.1172 3 2.875 3 103.8438 101.3438 103.8125 93.75 101.2188 2.5 2.875 3 103.8125 98.7422 2.75 Asked Chg 102.7422 -0.0313 100.3984 -0.0078 100.3672 -0.0078 98.0625 -0.0313 126.8672 -0.0625 102.8125 -0.1094 137.0781 -0.1016 129.1953 -0.1484 129.6094 -0.1719 129.8203 -0.2344 137.9219 -0.2031 130.3281 -0.2109 113.9297 128.4688 128.6406 120.0547 106.8516 104.4375 99.75 99.6797 106.5156 -0.1172 101.7656 -0.1328 111.2266 -0.2266 103.9688 -0.1875 94.1484 -0.1719 -0.1875 -0.2266 -0.1953 -0.1641 -0.1797 -0.1875 -0.125 -0.1719 103.875 -0.1875 101.375 -0.1719 103.8438 -0.1797 93.7813 -0.1797 101.25 -0.1719 103.8438 -0.1719 98.7734 -0.1484 Asked Yld 1.342 1.36 1.474 1.74 1.872 2.045 2.189 2.272 2.285 2.473 2.537 2.594 2.644 2.665 2.68 2.696 2.735 2.751 2.764 2.768 2.766 2.778 2.776 2.79 2.808 2.798 2.804 2.802 2.818 2.812 2.808 2.811

Figure 8.4 Sample Wall Street Journal U.S. Treasury Bond Prices Maturity 11/15/2018 3/31/2019 3/15/2020 10/31/2021 2/15/2023 5/15/2024 8/15/2027 11/15/2028 2/15/2029 2/15/2036 5/15/2037 5/15/2038 2/15/2039 11/15/2039 5/15/2040 8/15/2040 11/15/2041 5/15/2042 8/15/2042 11/15/2042 2/15/2043 5/15/2043 5/15/2044 11/15/2044 2/15/2045 5/15/2045 8/15/2045 11/15/2045 5/15/2046 11/15/2046 5/15/2047 8/15/2047 Bld 3.75 102.7266 1.625 100.3828 1.625 100.3516 1.25 98.0469 7.125 126.8516 102.7969 Coupon 2.5 6.375 137.0625 5.25 129.1328 5.25 129.5469 129.7578 137.8594 130.2656 4.5 5 4.5 113.8672 3.5 4.375 128.4063 4.375 128.5781 3.875 119.9922 3.125 106.8203 104.4063 99.7188 99.6484 3 2.75 2.75 3.125 106.4844 2.875 101.7344 111.1953 3.375 3 2.5 103.9375 94.1172 3 2.875 3 103.8438 101.3438 103.8125 93.75 101.2188 2.5 2.875 3 103.8125 98.7422 2.75 Asked Chg 102.7422 -0.0313 100.3984 -0.0078 100.3672 -0.0078 98.0625 -0.0313 126.8672 -0.0625 102.8125 -0.1094 137.0781 -0.1016 129.1953 -0.1484 129.6094 -0.1719 129.8203 -0.2344 137.9219 -0.2031 130.3281 -0.2109 113.9297 128.4688 128.6406 120.0547 106.8516 104.4375 99.75 99.6797 106.5156 -0.1172 101.7656 -0.1328 111.2266 -0.2266 103.9688 -0.1875 94.1484 -0.1719 -0.1875 -0.2266 -0.1953 -0.1641 -0.1797 -0.1875 -0.125 -0.1719 103.875 -0.1875 101.375 -0.1719 103.8438 -0.1797 93.7813 -0.1797 101.25 -0.1719 103.8438 -0.1719 98.7734 -0.1484 Asked Yld 1.342 1.36 1.474 1.74 1.872 2.045 2.189 2.272 2.285 2.473 2.537 2.594 2.644 2.665 2.68 2.696 2.735 2.751 2.764 2.768 2.766 2.778 2.776 2.79 2.808 2.798 2.804 2.802 2.818 2.812 2.808 2.811

Practical Management Science
Practical Management Science
6th Edition
ISBN:9781337406659
Author:WINSTON, Wayne L.
Publisher:WINSTON, Wayne L.
Chapter8: Evolutionary Solver: An Alternative Optimization Procedure
Section8.7: Portfolio Optimization
Problem 13P
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Locate the Treasury bond in Figure 8.4 maturing in November 2042. Assume a par value of $10,000. What is its coupon rate? (Enter your answer as a percent rounded to 3 decimal places, e.g., 32.161.) What is its bid price in dollars? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) What was the previous day's asked price in dollars? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Coupon rate Bid price Previous day's asked price %
Transcribed Image Text:Locate the Treasury bond in Figure 8.4 maturing in November 2042. Assume a par value of $10,000. What is its coupon rate? (Enter your answer as a percent rounded to 3 decimal places, e.g., 32.161.) What is its bid price in dollars? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) What was the previous day's asked price in dollars? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Coupon rate Bid price Previous day's asked price %
D Figure 8.4 Sample Wall Street Journal U.S. % 5 Treasury Bond Prices T 16 10 40 6 Y & Maturity 11/15/2018 3/31/2019 3/15/2020 10/31/2021 2/15/2023 5/15/2024 8/15/2027 11/15/2028 2/15/2029 2/15/2036 5/15/2037 5/15/2038 2/15/2039 11/15/2039 5/15/2040 8/15/2040 11/15/2041 5/15/2042 8/15/2042 11/15/2042 2/15/2043 5/15/2043 5/15/2044 11/15/2044 2/15/2045 5/15/2045 8/15/2045 11/15/2045 5/15/2046 11/15/2046 7 5/15/2047 8/15/2047 U Coupon Bld 102.7266 100.3828 100.3516 98.0469 126.8516 102.7969 2.5 6.375 137.0625 5.25 129.1328 129.5469 129.7578 137.8594 130.2656 5.25 4.5 5 4.5 113.8672 3.5 4.375 128.4063 4.375 128.5781 3.875 119.9922 3.125 106.8203 104.4063 3 2.75 99.7188 2.75 99.6484 3.125 106.4844 2.875 101.7344 3.375 111.1953 3 2.5 103.9375 3 2.875 3 3 2.5 8 3.75 1.625 1.625 1.25 7.125 2.875 3 2.75 K ( 9 94.1172 34.1172 103.8438 100:9100 101.3438 1:3430 103.8125 05.0129 93.75 101.2188 103.8125 98.7422 f10 O ▶|| Chg Asked 102.7422 -0.0313 100.3984 -0.0078 100.3672 -0.0078 98.0625 126.8672 102.8125 137.0781 129.1953 -0.1484 129.6094 -0.1719 129.8203 -0.2344 137.9219 -0.2031 130.3281 -0.2109 113.9297 -0.1719 128.4688 -0.1875 128.6406 -0.2266 120.0547 -0.1953 106.8516 -0.1641 104.4375 -0.1797 -0.1875 99.75 99.6797 -0.125 106.5156 -0.1172 101.7656 -0.1328 111.2266 -0.2266 103.9688 -0.1875 94.1484 -0.1719 -0.1875 -0.0313 -0.0625 -0.1094 -0.1016 103.875 101.375 101:313 -0.1719 103.8438 -0.1797 93.7813 -0.1797 101.25 -0.1719 -0.1719 -0.1484 103.8438 98.7734 O 2 112 { [ Asked Yld 1.342 1.36 1.474 1.74 1.872 2.045 2.189 2.272 2.285 2.473 2.537 2.594 2,644 2.665 2:68 2.696 2.735 2.751 2.764 2.768 2.766 2.778 2.776 2.79 2.808 2.798 2.804 2.802 2.818 2.812 2.808 2.811 1 insprt sc } delete ← backspace ] home num lock
Transcribed Image Text:D Figure 8.4 Sample Wall Street Journal U.S. % 5 Treasury Bond Prices T 16 10 40 6 Y & Maturity 11/15/2018 3/31/2019 3/15/2020 10/31/2021 2/15/2023 5/15/2024 8/15/2027 11/15/2028 2/15/2029 2/15/2036 5/15/2037 5/15/2038 2/15/2039 11/15/2039 5/15/2040 8/15/2040 11/15/2041 5/15/2042 8/15/2042 11/15/2042 2/15/2043 5/15/2043 5/15/2044 11/15/2044 2/15/2045 5/15/2045 8/15/2045 11/15/2045 5/15/2046 11/15/2046 7 5/15/2047 8/15/2047 U Coupon Bld 102.7266 100.3828 100.3516 98.0469 126.8516 102.7969 2.5 6.375 137.0625 5.25 129.1328 129.5469 129.7578 137.8594 130.2656 5.25 4.5 5 4.5 113.8672 3.5 4.375 128.4063 4.375 128.5781 3.875 119.9922 3.125 106.8203 104.4063 3 2.75 99.7188 2.75 99.6484 3.125 106.4844 2.875 101.7344 3.375 111.1953 3 2.5 103.9375 3 2.875 3 3 2.5 8 3.75 1.625 1.625 1.25 7.125 2.875 3 2.75 K ( 9 94.1172 34.1172 103.8438 100:9100 101.3438 1:3430 103.8125 05.0129 93.75 101.2188 103.8125 98.7422 f10 O ▶|| Chg Asked 102.7422 -0.0313 100.3984 -0.0078 100.3672 -0.0078 98.0625 126.8672 102.8125 137.0781 129.1953 -0.1484 129.6094 -0.1719 129.8203 -0.2344 137.9219 -0.2031 130.3281 -0.2109 113.9297 -0.1719 128.4688 -0.1875 128.6406 -0.2266 120.0547 -0.1953 106.8516 -0.1641 104.4375 -0.1797 -0.1875 99.75 99.6797 -0.125 106.5156 -0.1172 101.7656 -0.1328 111.2266 -0.2266 103.9688 -0.1875 94.1484 -0.1719 -0.1875 -0.0313 -0.0625 -0.1094 -0.1016 103.875 101.375 101:313 -0.1719 103.8438 -0.1797 93.7813 -0.1797 101.25 -0.1719 -0.1719 -0.1484 103.8438 98.7734 O 2 112 { [ Asked Yld 1.342 1.36 1.474 1.74 1.872 2.045 2.189 2.272 2.285 2.473 2.537 2.594 2,644 2.665 2:68 2.696 2.735 2.751 2.764 2.768 2.766 2.778 2.776 2.79 2.808 2.798 2.804 2.802 2.818 2.812 2.808 2.811 1 insprt sc } delete ← backspace ] home num lock
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