Calculating Bond Price,
Using TVM Calculation,
PV = [FV = 1,000, PMT = 80, N = 3, I = 0.10]
PV = $950.26
Duration = [1(80)/(1.10) + 2(80)/(1.10)2 + 3(1,080)/(1.10)3]/950.26
Duration = 2.78 years
Duration of 3 year Zero Coupon Bond = 3 years
. Example: Calculate the duration of an 8% coupon bond (annual coupon payment) t hat has...
A the duration (in years) of a two year bond with 8% annual coupon payment $1000.00 per value and yield to maturity of 9% is
a. An investor buys a 5 % annual coupon payment bond with three years to maturity. The bond has a yield-to-maturity of 9%. The par value is $1000. i. Determine the market price of the bond. (2 marks) ii. Calculate the bond's duration. (3 marks) b.A bond portfolio consists of the following three annual coupon payment bonds. Prices are per 100 of par value. Modified Duration Yield-to- Coupon (%) Bond Maturity Market (years) Price Maturity (%) (years) 5.23 7.98 Value...
Find the duration of a 8% coupon bond making annual coupon payments if it has three years until maturity and a yield to maturity of 72% What is the duration if the yield to maturity is 11.2%? (Do not round Intermediate calculations. Round your answers to 4 decimal places.) 7.22 YTM 11.2 YTM
Calculate the duration for a 2-year bond which has a 8% annual coupon rate, and coupons are paid semiannually. The yield to maturity is 6% and the face value of the bond is $1000.
Calculate the duration for a 2-year bond which has a 8% annual coupon rate, and coupons are paid semiannually. The yield to maturity is 6% and the face value of the bond is $1000.
1. An investor purchases an annual coupon bond with a 6% coupon rate and exactly 20 years remaining until maturity at a price equal to par value. The investor’s investment horizon is eight years. The approximate modified duration of the bond is 11.470 years. What is the duration gap at the time of purchase? (Hint: use approximate Macaulay duration to calculate the duration gap) 2. An investor plans to retire in 10 years. As part of the retirement portfolio, the...
E F G H Bond Valuation with Annual Coupon Calculate the Coupon Payment and Price of the Bond only round when instructed to do so all calculations should result in positive numbers Par Value: Coupon Rate: Yield to Maturity: Issue Date Maturity date: 1,000.00 4.8% 3.9% 8/1/19 8/1/29 What is the term of this bond in full years? What is the amount of the annual coupon payment? What is the PV of the Par Value of the bond? What is...
Three investors invest in the same 10-year 8% annual coupon bond. They bought the bond at the same price ($85.503075 for a par value of $100) and at the same time. A is a buy-and-hold investor (hold till maturity), B will sell the bond after four years, and C will sell the bond after seven years. What is the yield to maturity of this bond? For each of these three investors, find the total cash flow (in dollar amount) at...
b. A bond portfolio consists of the following three annual coupon payment bonds. Prices are per 100 of par value. Price Coupon (%) Bond Maturity Market (years) Value 171,000 B 10 161,800 C 15 150.000 Modified Duration (years) 5.23 3.00 Yield-to- Maturity (%) 5.95 5.99 6.00 85.50 80.90 100.00 3.40 6.00 7.98 9.71 i. Determine the weight of each bond in the bond portfolio. (3 marks) ii. Calculate the bond portfolio's modified duration. (2 marks)
Question 1 2 pts Duration: is always greater than maturity rises as the coupon payment rises. measures how bond prices change with changes in maturity. is a measure of total return. is a measure of how price sensitive a bond is to a change in interest rates. Question 2 2 pts What is the Macaulay's duration of a 10 year zero-coupon bond with a face value of $1,000 and a market rate of 8%, compounded annually is: 9 years 10...