Show computations thanks. You have a 2 year coupon bond with a coupon rate of 6...
Consider a 2-year coupon bond that pays coupon annually with a coupon rate of 3%, face value $1000, a yield to maturity of 4%. (a) What is the approximated bond price estimated by duration if the yield is increased by 0.5%? (b) What is the convexity of this coupon bond?
Consider a 2-year coupon bond that pays coupon annually with a coupon rate of 3%, face value $1000, a yield to maturity of 4%. (a) What is the approximated bond price estimated by both duration and convexity if the yield is increased by 0.5%? (b) Suppose you purchased 1 unit of the above coupon bond mentioned above and is worried if the interest rate will increase. You are considering taking short position on a zero coupon bond. The zero coupon...
show work please ? You have a 10 year treasury bond with 6 percent coupon rate per annum using spot rates all yields are continuously compounded.). Maturity CF Zero Rate Semiannual Zero Rate Semiannual Forward Rate Discount Factor PV of Cash Flow 2.882 2.753 0.080 0.083 0.089 0.040 0.042 0.045 0.040 0.043 0.051 0.961 0.918 0.858 0.051 N 0.057 0.061 0.070 0.065 0.062 0.092 0.095 0.098 0.101 0.106 0.109 0.110 0.112 0.116 0.117 0.120 0.124 0.123 0.125 0.132 0.134 0.136...
1. An investor purchases an annual coupon bond with a 6% coupon rate and exactly 20 years remaining until maturity at a price equal to par value. The investor’s investment horizon is eight years. The approximate modified duration of the bond is 11.470 years. What is the duration gap at the time of purchase? (Hint: use approximate Macaulay duration to calculate the duration gap) 2. An investor plans to retire in 10 years. As part of the retirement portfolio, the...
A 33-year maturity bond making annual coupon payments with a coupon rate of 15% has duration of 10.8 years and convexity of 1916 . The bond currently sells at a yield to maturity of 8% Required (a) Find the price of the bond if its yield to maturity falls to 7% or rises to 9%. (Round your answers to 2 decimal places. Omit the "$" sign in your response.) Yield to maturity of 7% Yield to maturity of 9% (b)...
A fixed coupon bond with 4 years until maturity has a coupon rate of 5% paid annually and is currently trading at a yield of 4% p.a. Compute the following: Calculate the Price of the bond. Calculate the Duration and Modified Duration of the Bond Answer this :Calculate the Convexity of the Bond
Consider a bond that has a 30-year maturity, an 8% coupon rate, and sells at an initial yield to maturity of 8%. Because the coupon rate equals the yield to maturity, the bond sells at par value: P = $1,000.00. Calculate the duration and the modified duration. If we assume the convexity of the bond is 212.4 and the bond’s yield increases from 8% to 10%, how much should the bond price decline?
A newly issued bond has a maturity of 10 years and pays a 7% coupon rate (with coupon payments coming once annually). The bond sells at par value. a. What are the convexity and the duration of the bond? Use the formula for convexity in footnote 7. (Round your answers to 3 decimal places.) Convexity Duration years b. Find the actual price of the bond assuming that its yield to maturity immediately increases from 7% to 8% (with maturity still...
You have a 25-year maturity, 9.1% coupon, 9.1% yield bond with a duration of 10 years and a convexity of 134.6. If the interest rate were to fall 116 basis points, your predicted new price for the bond (including convexity) is _________. $1,097.24 $1,091.66 $1,115.40 $1,106.30
A 30-year maturity bond making annual coupon payments with a coupon rate of 15.5% has duration of 9.96 years and convexity of 144.6. The bond currently sells at a yield to maturity of 10%. a. Find the price of the bond if its yield to maturity falls to 9%. (Do not round intermediate calculations. Round your answer to 2 decimal places.) Price of the bond $ b. What price would be predicted by the duration rule? (Do not round intermediate...