% Change in Price = Modified Duration * Change in YTM
= 4.66% * 0.1
= 0.466%
price will be decreased by 0.466%
help with #7 acaulay's Duration: Modified Duration: Macaulay's Duration Modified Duration =- 1+ y Projected %...
1. Which of the following is an example of curve duration? A. Macaulay duration. B. Modified duration. C. Effective duration. 2. Two statements about duration are given as follows: Statement 1: "Duration measures the percentage change in bond price for a one basis point change in the yield." Statement 2: "Money duration measures the price change in bond price for a one basis point change in the yield." A. Both statements are correct. B. Exactly one of the statement is...
13. Consider a bond selling at par with modified duration of 10.6 years and convexity of 210. A 2% decrease in yield would cause the price to increase by 21.2%, according to the duration rule. What would be the percentage price change according to the duration-with-convexity rule? (Record your answer rounded to 3 decimal places) Use the data given in the chart below to answers questions 14-16 Year Yield to Maturity 7 20% 705% 7 .00% 6.94% 6.90% 6.90% 7.12%...
Given a 10 year ZCB trading with a 5% yield, calculate the modified duration of the bond and determine the price change given an instantaneous shift in yields by 1%. What would be the difference in the calculated price change if a convexity adjustment is applied? Would this adjustment be larger given a larger shift in yields?
Tropical Dreams bonds have a duration of 6.8 years and a modified duration of 6.50. If the yield is expected to decrease by 0.1%, what is the expected percentage change in the price of the bonds issued by Tropical Dreams? The yield to maturity is 9% and the bonds mature in ten years. The bonds carry a 9% coupon, paid semiannually. The par value is $1,000.
2. Tropical Dreams bonds have a duration of 6.8 years and a modified duration of 6.50. If the yield is expected to decrease by 0.1%, what is the expected percentage change in the price of the bonds issued by Tropical Dreams? The yield to maturity is 9% and the bonds mature in ten years. The bonds carry a 9% coupon, paid semiannually. The par value is $1,000
a. A 6% coupon bond paying interest annually has a modified duration of 7 years, sells for $820, and is priced at a yield to maturity of 9%. If the YTM decreases to 8%, what is the predicted change in price ($) using the duration concept? (2 marks) b. A bond with annual coupon payments has a coupon rate of 6%, yield to maturity of 7 % , and Macaulay duration of 12 years. What is the bond's modified duration?...
16. A portfolio manager owns S 15 million par value of bond ABC. The bond is trading at 80 and has a modified duration of 5. The portfolio manager is considering swapping out of bond ABC and into bond XYZ. The price of this bond is 85 and it has a modified duration of 4 Answer the below questions. (a) What is the dollar duration of bond ABC per 100-basis-point change in yield? b) What does that mean? Explain e)...
This was all the information that I was given. QUESTION 1 What is the duration of a five year, $1,000 Treasury bond with a 10 percent coupon (paid semiannually) if its yield to maturity is 12 percent? SUGGESTION: use the duration calculation spreadsheet provided for this problem. QUESTION 2 What is the modified duration of the bond in question one? QUESTION 3 Using the modified duration value from question two, what is the predicted price change for the bond if...
Calculate the Duration and Modified Duration of each bond (already completed). Create a chart the shows both measures versus term to maturity. Does duration increase linearly with term? If not, what relationship do you see? А 2 Settlement Date 3 Maturity Date 4 Coupon Rate 5 Market Price 6 Face Value 7 Required Return 8 Frequency Bond A 2/15/2017 8/15/2027 4.00% 975.00 1,000.00 4.35% 2.00 Bond B 2/15/2017 5/15/2037 6.25% 1,062.00 1,000.00 5.50% 2.00 Bond C 2/15/2017 6/15/2047 7.40% 1,103.00...
A 4-year 12% coupon bond has a yield of 10%. (a) What are its Macaulay Duration, Modified duration, and convexity (I do not mean effective convexity) (b) What is the actual price change, Modified Duration predicted price change and Modified Duration + convexity predicted change in price for an increase of 50 basis point in the yield. Assume a flat term structure before and after the increase and annual coupons. (Note: For convexity do not use effective convexity measure)