A the duration (in years) of a two year bond with 8% annual coupon payment $1000.00 per value and yield to maturity of 9% is
ytm | 9.00% | ||||
year | PMT | PV of PMT | weight | year * weight | |
1 | 80 | 73.39449541 | 0.07470870459 | 0.07470870459 | |
2 | 1080 | 909.0143927 | 0.9252912954 | 1.850582591 | |
sum | 982.4088881 | 1.93 | duration |
hence duration = 1.93
A the duration (in years) of a two year bond with 8% annual coupon payment $1000.00...
a. An investor buys a 5 % annual coupon payment bond with three years to maturity. The bond has a yield-to-maturity of 9%. The par value is $1000. i. Determine the market price of the bond. (2 marks) ii. Calculate the bond's duration. (3 marks) b.A bond portfolio consists of the following three annual coupon payment bonds. Prices are per 100 of par value. Modified Duration Yield-to- Coupon (%) Bond Maturity Market (years) Price Maturity (%) (years) 5.23 7.98 Value...
. Example: Calculate the duration of an 8% coupon bond (annual coupon payment) t hat has three years to maturity. Interest rate is assumed to be 10%. . Steps: . Bond price = ? • Weights (w1,W2 and wz) = ? - Duration = ? • How does it compare with a three-year zero-coupon bond?
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A 33-year maturity bond making annual coupon payments with a coupon rate of 15% has duration of 10.8 years and convexity of 1916 . The bond currently sells at a yield to maturity of 8% Required (a) Find the price of the bond if its yield to maturity falls to 7% or rises to 9%. (Round your answers to 2 decimal places. Omit the "$" sign in your response.) Yield to maturity of 7% Yield to maturity of 9% (b)...
Calculate the duration for a 2-year bond which has a 8% annual coupon rate, and coupons are paid semiannually. The yield to maturity is 6% and the face value of the bond is $1000.
Calculate the duration for a 2-year bond which has a 8% annual coupon rate, and coupons are paid semiannually. The yield to maturity is 6% and the face value of the bond is $1000.
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A 12.25-year maturity zero-coupon bond selling at a yield to maturity of 8% (effective annual yield) has convexity of 139.2 and modified duration of 11.34 years. A 40-year maturity 6% coupon bond making annual coupon payments also selling at a yield to maturity of 8% has nearly identical modified duration--12.30 years--but considerably higher convexity of 272.9. a. Suppose the yield to maturity on both bonds increases to 9%. What will be the actual percentage capital loss on each bond? il...
A coupon bond that matures in 3 years paying an annual coupon of 8% (in semi-annual installments) with a face value of $1000 has an annual yield-to-maturity of 6%. The bond made its most recent interest payment yesterday, and so has 6 interest payments remaining. What is the price of the bond? Round the price to two decimal places (i.e. 123.45).