Calculation of Duration. E.g., Calculate the duration of the following security: 2-year fixed coupon paying 5%...

Calculation of Duration. E.g., Calculate the duration of the following security: 2-year fixed coupon paying 5% quarterly. Ans. The duration of the security is 1.9138. Please show me the process.

Expert Solution

jeff jeffy answered 1 year ago

What is the duration of a 2 year bond that pays a 5% annual coupon with...

What is the duration of a 2 year bond that pays a 5% annual coupon with a 9% YTM? Use $1000 as the face value of the bond. Using the duration, what is the expected change in the bond if rates are expected to drop by 25 basis points?

2) a. What is the duration of a 5-year 8% annual coupon bond with a par...

2) a. What is the duration of a 5-year 8% annual coupon bond with a par value of $100 if the prevailing continuously compounded interest rate is 10%? b. What is the duration of a 5-year 12% annual coupon bond with a par value of $100 if the prevailing continuously compounded interest rate is 10%? What does this tell you about the relationship between coupon rates and duration? Comment. c. What is the duration of a 5-year 8% annual coupon...

A 5-year 10% annual coupon bond is trading at par. when we calculate the duration of...

A 5-year 10% annual coupon bond is trading at par. when we calculate the duration of this bond ___% is the weight of the first coupon that will be paid one year from today

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

Calculate the duration and volatities of 9% coupon and 13% coupon, 5 years bonds whose yields...

Calculate the duration and volatities of 9% coupon and 13% coupon, 5 years bonds whose yields are 8%.

Calculate the duration, given the following (use 2 decimals) Face value = $1,000 Coupon rate =...

Calculate the duration, given the following (use 2 decimals) Face value = $1,000 Coupon rate = 7.75% Yield = 8.25% Remaining years = 4 Redemption = 100 Frequency = 2

The duration of an 11-year, $1,000 Treasury bond paying a 10 percent annual coupon and selling...

The duration of an 11-year, $1,000 Treasury bond paying a 10 percent annual coupon and selling at par has been estimated at 6.763 years. What will be the new price of the bond if interest rates increase 0.10 percent (10 basis points)?

The duration of an 11-year, $1,000 Treasury bond paying a 12% semi-annual coupon and selling at...

The duration of an 11-year, $1,000 Treasury bond paying a 12% semi-annual coupon and selling at par (yield = coupon rate) has been estimated at 6.5 years. What will be the estimated price change on the bond if interest rates increase 0.20 percent? ΔR=0.002

Duration of a coupon paying bond is: equal to its maturity. less than a zero coupon...

Duration of a coupon paying bond is: equal to its maturity. less than a zero coupon bond. equal to its number of payments. None of these. equal to the zero coupon bond.

What is the duration of a 20 year Treasury with a 2% coupon and a YTM...

What is the duration of a 20 year Treasury with a 2% coupon and a YTM of 2% and face value = $100,000? If rates fall 150bp, what is your estimate of the dollar change in value?

Question