bond duration =
the following bonds both have maturity of 10 years and interest rate of 10%:
bond x | interest paid yearly |
bond y | zero coupon |
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bond X and bond Y. Bond X has a face value of $1,000 and 10 years to maturity and has just been issued at par. It bears the current market interest rate of 7% (i.e. this is the yield to maturity for this bond). Bond Y was issued 5 years ago when interest rates were much higher. Bond Y has face value of $1,000 and pays a 13% coupon rate. When issued, this bond had a 15-year, so today its...
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...
Compute the duration of a bond with a face value of $1,000, a coupon rate of 7% (coupon is paid annually) and a maturity of 10 years as the interest rate (or yield to maturity) on the bond changes from 2% to 12% (consider increments of 1% - so you need to compute the duration for various yields to maturity 2%, 3%, …, 12%) . What happens to duration as the interest rate increases?
. Example: Calculate the duration of an 8% coupon bond (annual coupon payment) t hat has three years to maturity. Interest rate is assumed to be 10%. . Steps: . Bond price = ? • Weights (w1,W2 and wz) = ? - Duration = ? • How does it compare with a three-year zero-coupon bond?
The duration of a coupon bond is: Multiple Choice Ο equal to its number of payments. Ο less than that of a zero coupon bond of equal maturity. less than that of a Ο equal to the zero coupon bond of the same maturity. Ο equal to its maturity. Ο increases as the time to maturity decreases. Assume a bond matures in 2 years, has a coupon rate of 6 percent, pays interest annually, and has a face value of...
What is the duration of a bond with two years to maturity if the bond has a coupon rate of 7.5 percent paid semiannually, and the market interest rate is 5.5 percent? (Do not round intermediate calculations and round your answer to 5 decimal places, e.g., 32.16161.) Duration
a. What is the duration of a zero-coupon bond that has twelve years to maturity? Duration of the bond years b. What is the duration if the maturity increases to 14 years? Duration of the bond years c. What is the duration if the maturity increases to 16 years? Duration of the bond years
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...
Bond Duration: What is the duration of a bond with 7% discount rate, 3-year maturity, and 10% coupon paid annually?
a. What is the duration of a zero-coupon bond that has eight years to maturity? b. What is the duration if the maturity increases to 10 years? c. What is the duration if the maturity increases to 12 years? a. Duration of the bond b. Duration of the bond c. Duration of the bond years years years