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Use the following information for problems 1, 2, 3, and 4: A non-callable $1,000 par- value...
possible answers are 0.5%, 1%, 1.5%,2%,2.5% 25. A 15-year bond with annual coupons sold at par of 1,000 has a Macaulay duration of 9.0101. If the annual effective yield rate of the bond decreases by x, the price of the bond approximated using the first-order Macaulay approximation is 1,233.72. Calculate x.
Sue buys a 10 year 1000 bond at par. The Macaulay duration is 8.329 years using an annual effective interest rate of 6.8%. a. Calculate the estimated price of the bond, using the first-order modified approximation if the interest rate rises to 7%.
1000 euro par value, 3% annual-coupon bond was issued 1.03.2015 and has 30 year maturity You purchased the bond on 20.10.2018 Market interest rate for similar securities is 2,8% Calculate following: a. Clean price b. Acrrued interest c. Full price d. Macaulay duration e. Modified duration If interest rate in the market declines by 50 bps g. Calculate new price with duration
1. Nov, 2005 #2. Calculate the Macaulay duration of an eight-year 100 par value bond with 10% annual coupons and an effective rate of interest equal to 8%. (A) 4 (B) 5 (C) 6 (D) 7 (E) 8
please answer the questions according to the marks appointed per question and sub question. this is a banking and finance question so please answer it accordingly. 8. (a) Explain the concept of Macaulay duration and explain the relationship between Macaulay duration and: (i) bond maturity (ii) interest rates (iii) bond coupon rate (7 marks) (b) Calculate the price and Macaulay duration of a five-year 5% coupon bond where the market interest rate is 5%. Assume the par value of the...
Bond Analysis Issue data Purchase date Maturity date Par value Coupon rate Frequency Market price October 12,2002 September 26,2012 November 24,2019 2279 1.5100% annually 94% All values must be rounded up to 2 decimals Characteristics Value 1 Yield to maturity <> 2 Macaulay duration <> 3 Modified duration <> 4 If the yield-to-maturity increases by 100 bps,the bond price will be changed by (calculate it precisely) <> 5 If the yield-to- maturity increases by 10 bps, the bond price will...
Graph (show the cash flows) of the following bond: a. A $20,000 par value bond with a coupon of 4.0% paid semi-annually, maturing in 6 years. b. Find the current price of the Bond if you use 4.0% as the discount rate. c. Is this bond priced at a discount or a premium? Macaulay Duration: a. Calculate the price of a bond with a Face Value of $1,000, with an ANNUAL coupon of 10% (not paid semi-annually, but once a...
A $1,000 par value bond pays an annual coupon of 10.0% and matures in 4 years. If the bond sells to yield 7%, what is the modified duration of this bond? a) The regular duration is: b) The modified duration is:
Calculate the Macaulay duration of a 10%, $1,000 par bond that matures in three years if the bond's YTM is 12% and interest is paid semiannually. Calculate this bond's modified duration (years). Do not round intermediate calculations. Round your answer to two decimal places. Assuming the bond's YTM goes from 12% to 10.5%, calculate an estimate of the price change. Do not round intermediate calculations. Round your answer to three decimal places (in %). Use a minus sign to enter...
4) A 20 year, 4%, $1000 face value bond paying annual coupons is callable at par at the end of any year from 15 on. a) How much should an investor pay if they want to earn at least 6% until the bond is called (or matures). b) How much should an investor pay if they want to earn at least 3% until the bond is called (or matures).