The McCauley’s duration of a 5-year zero-coupon bond yielding 4% is ________ years and the modified...

The McCauley’s duration of a 5-year zero-coupon bond yielding 4% is ________ years and the modified duration of a 5-year zero-coupon bond yielding 4% is ________ years.

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jeff jeffy answered 3 years ago

What is the duration of a 2 year zero-coupon bond that is yielding 11.5 percentage? use...

What is the duration of a 2 year zero-coupon bond that is yielding 11.5 percentage? use $1000 as the face value

Question 4. A 12.75-year maturity zero-coupon bond has convexity of 150.3 and modified duration of 11.81...

Question 4. A 12.75-year maturity zero-coupon bond has convexity of 150.3 and modified duration of 11.81 years. A 30-year maturity 6% coupon bond with annual coupon payments has nearly identical modified duration of 11.79 years, but considerably higher convexity of 231.2. Suppose the yield to maturity on both bonds increases by 1%. What percentage change in price of the bonds as predicated by the duration plus convexity model? (6) Repeat part (a), but this time assume that the yield to...

4. a) Compute the modified duration of a 10% coupon, 4-year corporate bond with a yield...

4. a) Compute the modified duration of a 10% coupon, 4-year corporate bond with a yield to maturity of 8%. b) Using the modified duration, If the market yield drops by 25 basis points, there will be a __________% (increase/decrease) in the bond's price.

Calculate the approximate modified duration of a 4-year, 5% coupon, semi-annual bond if yields change by...

Calculate the approximate modified duration of a 4-year, 5% coupon, semi-annual bond if yields change by 50bps. Assume the bond currently sells at 5% yield to maturity (YTM). a) 1.79 b) 3.59 c) 7.17 d) 11.95 e) None of the above

a) Compute the modified duration of a 9% coupon, 4-year corporate bond with a yield to...

a) Compute the modified duration of a 9% coupon, 4-year corporate bond with a yield to maturity of 10%. b) Using the modified duration, If the market yield drops by 25 basis points, there will be a __________% (increase/decrease) in the bond's price.

What is the modified duration of an 5% bond with 15 years to maturity that is...

What is the modified duration of an 5% bond with 15 years to maturity that is trading at a yield of 8%? Assume that coupon is paid semi-annually. (Keep your answer to 2 decimal places, xx.12.)

An investor is considering the purchase of zero-coupon U.S. Treasury bonds. A 30-year zero-coupon bond yielding...

An investor is considering the purchase of zero-coupon U.S. Treasury bonds. A 30-year zero-coupon bond yielding 8% can be purchased today for $9.94. At the end of 30 years, the owner of the bond will receive $100. The yield of the bond is related to its price by the following equation: Here, P is the price of the bond, y is the yield of the bond, and t is the maturity of the bond measured in years. Evaluating this equation...

2. To create a portfolio with a duration of 4 years using a 5 year zero...

2. To create a portfolio with a duration of 4 years using a 5 year zero coupon bond and a 2 year 6% annual coupon bond with a yield to maturity of 8%, one would have to invest______ of the portfolio value in the zero coupon bond.

You have two bonds (A and B) with a (modified) duration of 4.3. Bond A is a coupon bond with a semi-annual coupon of SEK 75 and Bond B is a zero coupon bond.

You have two bonds (A and B) with a (modified) duration of 4.3. Bond A is a coupon bond with a semi-annual coupon of SEK 75 and Bond B is a zero coupon bond.a) How much does the value of each bonds change if the interest rate changes by 0.1%-unit.b) What is the time to maturity for the zero coupon bond?c) Which bond has the longest time to maturity?d) Calculate the accrued interest of the coupon bond if you buy...

Bond Coupon Rate Yield Maturity Duration A 7% 3.5% 4 Years B Zero Coupon 5.25% 8...

Bond Coupon Rate Yield Maturity Duration A 7% 3.5% 4 Years B Zero Coupon 5.25% 8 Years A) Compute the duration of each bond, assuming annual interest payments for the coupon bonds. Show your work below. (10 points) B) What is the duration-predicted price change for each bond for a 1% increase in rates? Show your work below. (15 points)

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