Question

Question Find the equilavent years to maturity ofa zero-coupon bond to one that has a coupon rate of 8.60%, 5 years to maturity and a yield to maturity of 9.20% Find the equilavent years to maturity of a zero-coupon bond to one that has a coupon rate of 660% (annual coupons) 10 years to maturity, and a yield to maturity 3 of 6.00%. Find the approximate percentage change in the price of a bond due to a 10 basis point change in the yield to maturity for a bond that has a coupon rate of 5.60% matures on September 4, 2022, and is currently priced at 990.410. Find the approximate percentage change in the price of a bond due to a 25 basis point change in the yield to maturity for a bond has a coupon rate of 6.20% (coupons are paid annually). matures on March 5, 2027, and is currently priced at 4 5 106.020 Find the actual percentage change in the price of a bond due to a 13 basis point increase in the yield to maturity. The bond has a coupon rate of 630%, matures in 5 years, and currently sells for 97.250 Find the actual percentage change in the price of a bond that would occur if the ield to maturity falls by 25 basis points The bond has a coupon rate of 4.30% matures in 16 years, and currently has a yield to maturity of 5.50%. Find the coupon rate for a 7-year bond that will match the Macaulay Duration of a bond with coupon rate of 8.40% and 6 years to maturity. Both bonds have a yield to maturity of 7.70%. Find the coupon rate for a 9-year bond that will match the Modified Duration of a bond with coupon rate of 7.20% and has 8 years to maturity. Both bonds have a yield to maturity of 7.60% and make 8 9 coupon payments annually

Answer 1

1) Assuming face value to be 100

Year	Interest @ 8.6%	[email protected]%	Present value	Weight	Duration = Weight*Year
1	8.6	0.9158	7.88	0.080627	0.081
2	8.6	0.8386	7.21	0.073834	0.148
3	8.6	0.7679	6.60	0.067613	0.203
4	8.6	0.7032	6.05	0.061917	0.248
5	108.6	0.6440	69.94	0.716009	3.580
			97.68		4.259

2) Auuming face value to be 100

Year	Interest @ 6.6%	PVIF@ 6%	Present value	Weight	Duration = Weight*Year
1	6.6	0.9434	6.23	0.059631	0.060
2	6.6	0.8900	5.87	0.056255	0.113
3	6.6	0.8396	5.54	0.053071	0.159
4	6.6	0.7921	5.23	0.050067	0.200
5	6.6	0.7473	4.93	0.047233	0.236
6	6.6	0.7050	4.65	0.04456	0.267
7	6.6	0.6651	4.39	0.042037	0.294
8	6.6	0.6274	4.14	0.039658	0.317
9	6.6	0.5919	3.91	0.037413	0.337
10	106.6	0.5584	59.52	0.570074	5.701
			104.416		7.684

3) Since current market price is less than face value , YTM is more than interest rate , hence if YTM increases bt 0.1% then bond price will decrease and vice versa

4)Since current market price is less than face value , YTM is less than interest rate , hence if YTM increases bt 0.25% then bond price will decrease and vice versa