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*Compute the Price Percentage Change of Bond Z based on the following set of information (Part...
a) A portfolio manager wants to estimate the interest rate risk of a bond using duration. The current price of the bond is 98. A valuation model found that if interest rates decline by 35 basis points...
a) A portfolio manager wants to estimate the interest rate risk of a bond using duration. The current price of the bond is 98. A valuation model found that if interest rates decline by 35 basis points, the price will increase to 101 and if interest rates increase by 35 basis points, the price will decline to 96. What is the duration of this bond? b) A portfolio manager purchased a bond portfolio with a market value of $75 million....
Use the duration=1.7499 years, calculate the change of the bond price in percentage if the required...
Use the duration=1.7499 years, calculate the change of the bond price in percentage if the required return moves up by 50 basis points. -0.875% -0.750% -0.625% -0.500% -0.375% 0.125% 0.250% 0.375% 0.5%
(a) A Bank has a bond with a maturity of 4 years. The coupon rate of...
(a) A Bank has a bond with a maturity of 4 years. The coupon rate of the bond is 8%, the yield to maturity is 9%, and the face value is 1 million dollars. Interest payment will be paid annually. Determine the price (present value) and duration of the bond. (9 marks) (b) Predict the change in the bond price if interest rates rise by 100 basis points based on the duration of the bond that you have calculated in...
A 12-year, 8 percent coupon bond with a YTM of 12 percent has a modified duration...
A 12-year, 8 percent coupon bond with a YTM of 12 percent has a modified duration duration of 8.96 years. If interest rates decline by 50 basis points, what will be the percent change in price for this bond? A. +8.48% B. +4.61% C. +8.96% D. +4.48%
A) You are considering the purchase of a $1,000 par value bond with a coupon rate...
A) You are considering the purchase of a $1,000 par value bond with a coupon rate of 5% (with interest paid semiannually) that matures in 12 years. If the bond is priced to yield 9%, what is the bond's current price? The bond's current price is $__ B) Compute the current yield of a(n) 8.5%, 25-year bond that is currently priced in the market at $1,200. Use annual compounding to find the promised yield on this bond. Repeat the promised...
2) Assume that you have a 10 year Treasury Bond with a yield of 2.76%, coupon...
2) Assume that you have a 10 year Treasury Bond with a yield of 2.76%, coupon rate of 2.35%, paying annual coupon payments. Assume the face value of the bond is $1,000. Shock the yield on the bond by 100 basis points up and down to determine the approximate duration and approximate convexity of the bond. Determine the approximate percentage change in the price of the bond because of the effects of duration and convexity when there is a 100...
*Compute the price of Note X based on the following set of information: --Note X is...
*Compute the price of Note X based on the following set of information: --Note X is a 10-year coupon debt instrument paying semi-annual interest. The annual coupon rate is 6% and the yield-to-maturity is 5.88%.
Question 16 1.5 pts A 5-year 5.8% annual coupon bond currently trades at 103. If interest...
Question 16 1.5 pts A 5-year 5.8% annual coupon bond currently trades at 103. If interest rates decline by 25 basis points (bps) you estimate the bond will be worth 104. If interest rates increase by 25 bps you estimate the bond will be worth 102. Based on this information what is the duration of this bond? duration s 2.0 2.0 < duration s 4.0 4.0 < duration s 6.0 6.0 < duration s 8.0 O 8.0 < duration
Frank Meyers is a fixed-income portfolio manager for a large pension fund. A member of the Investiment Committee, Fred Spice, is very interested in learning about the management of fixed-income portfolios. Spice has approached Meyers with several question
Frank Meyers, CFA, is a fixed-income portfolio manager for a large pension fund. A member of the Investiment Committee, Fred Spice, is very interested in learning about the management of fixed-income portfolios. Spice has approached Meyers with several questions. Specifically, Spice would like to know how fixed-income managers position portfolios to capitalize on their expectations of future interest rates. Meyers decides to illustrate fixed-income trading strategies to Spice using a fixed-rate bond and note. Both bonds have samiannual coupon periods. Unless...
A bond that pays interest semiannually has a 2.5 percent promised yield and a price of...
A bond that pays interest semiannually has a 2.5 percent promised yield and a price of $1,225. Annual interest rates are now projected to increase 50 basis points. The bond's duration is 10 years. What is the predicted new bond price after the interest rate change? (Watch your rounding.)
A 12-year, 8 percent coupon bond with a YTM of 12 percent has a modified duration duration of 8.96 years. If interest rates decline by 50 basis points, what will be the percent change in price for this bond? A. +8.48% B. +4.61% C. +8.96% D. +4.48%
*Compute the price of Note X based on the following set of information: --Note X is a 10-year coupon debt instrument paying semi-annual interest. The annual coupon rate is 6% and the yield-to-maturity is 5.88%.
Question 16 1.5 pts A 5-year 5.8% annual coupon bond currently trades at 103. If interest rates decline by 25 basis points (bps) you estimate the bond will be worth 104. If interest rates increase by 25 bps you estimate the bond will be worth 102. Based on this information what is the duration of this bond? duration s 2.0 2.0 < duration s 4.0 4.0 < duration s 6.0 6.0 < duration s 8.0 O 8.0 < duration
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