Question
In: Finance
Compute the duration of a bond which pays two coupons of $100 next year and the...
Compute the duration of a bond which pays two coupons of $100 next year and the following year and then (in year two) repays the principal of $1000, given an annual yield of 7%. Repeat the calculation for a 9% yield.
Solutions
jeff jeffy answered 2 years agoRelated Solutions
Compute the duration of a bond that pays $100 in year 1 and $5 in year...
Compute the duration of a bond that pays $100 in year 1 and $5
in year 2. The term-structure of interest rates is flat at 10%. It
means r1 = r2 = 10%
1) Compute the Macaulay duration for a 5-year bond paying annual coupons of 9% and having...
1) Compute the Macaulay duration for a 5-year bond paying annual
coupons of 9% and having a yield to maturity of 9.5%.
a. 3.86 Answers: a. 3.86 b. 4.57 c. 5.00 d. 3.78 e. 4.23
2) Which of the following bonds would be cheapest to deliver
given a T-note futures price of 90.4697? (Assume that all bonds
have semiannual coupon payments based on a par value of $100.)
Answers: a. 9.5-year bond with 4.5% coupons and a yield of 3.5%...
Consider a 2-year Treasury bond with a face value of $100 and that pays coupons at...
Consider a 2-year Treasury bond with a face value of $100 and
that pays coupons at a rate of 6% semiannually. What is the bonds
par yield given the following Treasury zero rates?
Maturity (years) Zero rates
0.5
3.0%
1.0
3.3%
1.5
3.6%
2.0 3.9%
a) 3.89%
b)3.99%
c)4.19%
d)4.39%
Consider the following. a. What is the duration of a two-year bond that pays an annual...
Consider the following.
a.
What is the duration of a two-year bond that pays an annual
coupon of 9 percent and whose current yield to maturity is 14
percent? Use $1,000 as the face value. (Do not round
intermediate calculations. Round your answer to 3 decimal places.
(e.g., 32.161))
Duration of a bond
b.
What is the expected change in the price of the bond if interest
rates are expected to decline by 0.2 percent? (Negative
amount should be...
Consider the following. a. What is the duration of a two-year bond that pays an annual...
Consider the following.
a.
What is the duration of a two-year bond that pays an annual
coupon of 8 percent and whose current yield to maturity is 10
percent? Use $1,000 as the face value. (Do not round
intermediate calculations. Round your answer to 3 decimal places.
(e.g., 32.161))
Duration of a bond
b.
What is the expected change in the price of the bond if interest
rates are expected to decline by 0.3 percent? (Negative
amount should be...
Consider the following. a. What is the duration of a two-year bond that pays an annual...
Consider the following. a. What is the duration of a two-year
bond that pays an annual coupon of 10 percent and whose current
yield to maturity is 14 percent? Use $1,000 as the face value. (Do
not round intermediate calculations. Round your answer to 3 decimal
places. (e.g., 32.161)) b. What is the expected change in the price
of the bond if interest rates are expected to decline by 0.5
percent? (Do not round intermediate calculations. Round your answer
to...
a. What is the duration of a two-year bond that pays an annual coupon of 11.3...
a. What is the duration of a two-year bond that
pays an annual coupon of 11.3 percent and has a current yield to
maturity of 13.3 percent? Use $1,000 as the face value. (Do
not round intermediate calculations. Round your answer to 4 decimal
places. (e.g., 32.1616))
b. What is the duration of a two-year zero-coupon
bond that is yielding 11.5 percent? Use $1,000 as the face
value.
A 3-year $100 par value bond pays 9% annual coupons. The spotrate of year 1...
A 3-year $100 par value bond pays 9% annual coupons. The spot
rate of year 1 is 6%, the 2- year spot rate is 12%, and the 3-year
spot rate is 13%.a) Determine the price of the bondb) Determine the yield to maturity of the bondA 2-year $100 par value bond pays 5% semi-annual coupons. The
6-month spot rate is 2%, the 1-year spot rate is 2.5%, the 18-month
spot rate is 3% and the 2-year spot rate is 4%.c)...
Suppose that a two-year bond with a principal of $100 provides coupons at the rate of...
Suppose that a two-year bond with a principal of $100 provides
coupons at the rate of 6% per annum semiannually. Suppose that the
zero-rates are
Maturity (years)
Zero Rate (%)
0.5
5.0
1.0
5.8
1.5
6.4
2.0
6.8
What is the bond's yield to maturity expressed with the
continuous compounding?
- please use the formulas and explain step by step
Suppose that a two-year bond with a principal of $100 provides coupons at the rate of...
Suppose that a two-year bond with a principal of $100 provides
coupons at the rate of 6% per annum semiannually. Suppose that the
zero-rates are
Maturity (years)
Zero Rate (%)
0.5
5.0
1.0
5.8
1.5
6.4
2.0
6.8
What is the current theoretical price of the bond?
- please use formulas and explain step by step
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