Which of the following investments has the lowest duration? Assume time to maturity is fixed for...
Which of the following investments has the lowest duration? Assume time to maturity is fixed for 10 years for all investments. Explain your answer.
1. Zero coupon bond with 20% ytm
2. 15% annual coupon bond with 6% ytm
3. 3% annual coupon bond with 15% ytm
4. 15% annual coupon bond with 15 ytm
Homework Answers
Duration decreases with increase in coupon and increase in ytm
Hence,
Lowest duration bond has highest coupon rate and highest ytm
Therefore, lowest duration bond is 15% annual coupon bond with 15 ytm
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Which of the following investments has the lowest duration?
Assume time to maturity is fixed for...
Which of the following investments has the lowest duration? Assume time to maturity are fixed at...
Which of the following investments has the lowest duration? Assume time to maturity are fixed at 10 years for all investment. a) A zero-coupon bond with 20% yield to maturity b) A 15% annual coupon paying bond with 6% yield to maturity c) A 3% annual coupon paying bond with 15% yield to maturity d) A 15% annual coupon paying bond with 15% yield to maturity
a. A 6% coupon bond paying interest annually has a modified duration of 7 years, sells...
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?...
Find the duration of a 6% coupon bond making semiannually coupon payments if it has three...
Find the duration of a 6% coupon bond making semiannually coupon payments if it has three years until maturity and has a yield to maturity of 6%. What is the duration if the yield to maturity is 10%? Note: The face value of the bond is $100. (Do not round intermediate calculations. Round your answers to 4 decimal places.) Duration 6% YTM years 10% YTM years
Find the duration of a 8% coupon bond making annual coupon payments if it has 3 years until matur...
Find the duration of a 8% coupon bond making annual coupon payments if it has 3 years until maturity and has a yield to maturity of 10%. Note: The face value of the bond is $1,000. (Do not round intermediate calculations. Round your answers to 3 decimal places.) 10% YTM: Duration = ________ years
Find the duration of a 7% coupon bond making annual coupon payments if it has three...
Find the duration of a 7% coupon bond making annual coupon payments if it has three years until maturity and a yield to maturity of 7.4%. What is the duration if the yield to maturity is 11.4%? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Duration YTM 7.4% YTM 11.4% YTM
1. Find the duration of the following bond: Face Value: 1,000.00. Time to maturity, 6 years;...
1. Find the duration of the following bond: Face Value: 1,000.00. Time to maturity, 6 years; coupon rate, 8%; Coupon payment, annual; Market interest rate, 8%. Explain and develop your immunization strategy if you invested in the bond. 2. Assume you reinvest all your coupon income until the holding period based on your strategy in question 1, calculate the accumulated value of invested payment(or receipt) when market interest rate is 8%, 9%, and 7%, respectively. If you can, use excel...
A 33-year maturity bond making annual coupon payments with a coupon rate of 15% has duration of 10.8 years and convexity of 1916 . The bond currently sells at a yield to maturity of 8% Required (a) F...
A 33-year maturity bond making annual coupon payments with a coupon rate of 15% has duration of 10.8 years and convexity of 1916 . The bond currently sells at a yield to maturity of 8% Required (a) Find the price of the bond if its yield to maturity falls to 7% or rises to 9%. (Round your answers to 2 decimal places. Omit the "$" sign in your response.) Yield to maturity of 7% Yield to maturity of 9% (b)...
Find the duration of a 9.0% coupon bond making semiannually coupon payments if it has three...
Find the duration of a 9.0% coupon bond making semiannually coupon payments if it has three years until maturity and has a yield to maturity of 6.0%. What is the duration if the yield to maturity is 11.4%? Note: The face value of the bond is $100. (Do not round intermediate calculations. Round your answers to 4 decimal places.) 10 points 6% YTM Years 11.4% YTM Years eBook Print References
Find the duration of a 7.2% coupon bond making semiannually coupon payments if it has three...
Find the duration of a 7.2% coupon bond making semiannually coupon payments if it has three years until maturity and has a yield to maturity of 6.0%. What is the duration if the yield to maturity is 10.0%? Note: The face value of the bond is $100. (Do not round Intermediate calculations. Round your answers to 4 decimal places.) 6% YTM 10% YTM
C)Estimate the Duration for each of the following thuree bonds, all of which trade at a...
C)Estimate the Duration for each of the following thuree bonds, all of which trade at a yield to maturity of S percent and have face values of $100 (2) Estimate the Convexity as well. YTM 5% 10-year 7% annual coupon bond 10-year 4% annual coupon bond 10-year 7% semi-annual coupon bond 3
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?...
Find the duration of a 6% coupon bond making semiannually coupon payments if it has three years until maturity and has a yield to maturity of 6%. What is the duration if the yield to maturity is 10%? Note: The face value of the bond is $100. (Do not round intermediate calculations. Round your answers to 4 decimal places.) Duration 6% YTM years 10% YTM years
Find the duration of a 7% coupon bond making annual coupon payments if it has three years until maturity and a yield to maturity of 7.4%. What is the duration if the yield to maturity is 11.4%? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Duration YTM 7.4% YTM 11.4% YTM
A 33-year maturity bond making annual coupon payments with a coupon rate of 15% has duration of 10.8 years and convexity of 1916 . The bond currently sells at a yield to maturity of 8% Required (a) Find the price of the bond if its yield to maturity falls to 7% or rises to 9%. (Round your answers to 2 decimal places. Omit the "$" sign in your response.) Yield to maturity of 7% Yield to maturity of 9% (b)...
Find the duration of a 9.0% coupon bond making semiannually coupon payments if it has three years until maturity and has a yield to maturity of 6.0%. What is the duration if the yield to maturity is 11.4%? Note: The face value of the bond is $100. (Do not round intermediate calculations. Round your answers to 4 decimal places.) 10 points 6% YTM Years 11.4% YTM Years eBook Print References
Find the duration of a 7.2% coupon bond making semiannually coupon payments if it has three years until maturity and has a yield to maturity of 6.0%. What is the duration if the yield to maturity is 10.0%? Note: The face value of the bond is $100. (Do not round Intermediate calculations. Round your answers to 4 decimal places.) 6% YTM 10% YTM
C)Estimate the Duration for each of the following thuree bonds, all of which trade at a yield to maturity of S percent and have face values of $100 (2) Estimate the Convexity as well. YTM 5% 10-year 7% annual coupon bond 10-year 4% annual coupon bond 10-year 7% semi-annual coupon bond 3
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