Question

In: Finance

Use Excel or similar for this exercise. Consider a 30 year bond paying 3 percent coupons...

Use Excel or similar for this exercise.
Consider a 30 year bond paying 3 percent coupons semi-annually and a yield-to-maturity equal to 5 percent. Find the price and duration.
Try a few different coupon rates and see how the price and duration change. Make a graph with duration on the y-axis and coupon rate on the x-axis.
Now vary the ytm instead and graph duration against ytm. Also graph duration against par, and duration against T.

Solutions

Expert Solution

Please refer to below spreadsheet for calculation and answer. Cell reference also provided.

Cell reference -

Please note- Par value has no impact on Duration.

Hope this will help, please do comment if you need any further explanation. Your feedback would be appreciated.


Related Solutions

A 30-year-maturity, 8 percent coupon bond paying coupons semiannually is callable in five years at a...
A 30-year-maturity, 8 percent coupon bond paying coupons semiannually is callable in five years at a call price of $1,100. The bond currently sells at a yield to maturity of 7 percent (3.5 percent per half-year). a. What is the yield to call? b. What is the yield to call if the call price is only $1,050? c. What is the yield to call if the call price is $1,100, but the bond can be called in two years in-stead...
Consider a 30-year U.S. bond paying 8 percent coupon. The interest is 10 percent. Find the...
Consider a 30-year U.S. bond paying 8 percent coupon. The interest is 10 percent. Find the bond’s Macaulay duration? Find the bond’s Modified duration.? If the interest rate falls by 10 basis points, what is the exact percentage change in the bond price? If the interest rate falls by 10 basis points, what is the approximate percentage change in the bond price?
A 30-year maturity, 8% coupon bond paying coupons semiannually is callable in 5 years at a...
A 30-year maturity, 8% coupon bond paying coupons semiannually is callable in 5 years at a call price of $1100. The bond currently sells at a yield to maturity (YTM) of 7% (3.5% per half-year). What is the yield to call? How does it relate to the YTM? Why?
A 30-year maturity, 8% coupon bond paying coupons semiannually is callable in five years at a...
A 30-year maturity, 8% coupon bond paying coupons semiannually is callable in five years at a call price of $1,100. The bond currently sells at a yield to maturity of 7% APR , compounded semi-annually. What is the yield to call (annualized).
A 30-year maturity, 8% coupon bond paying coupons semiannually is callable in five years at a...
A 30-year maturity, 8% coupon bond paying coupons semiannually is callable in five years at a call price of $1,020. The bond currently sells for $1,059.34. a) What are the yield to maturity and the yield to call of the bond? b) What would be the yield to call annually if the call price were only $970? c) What would be the yield to call annually if the call price were $1,020, but the bond could be called in two...
A 30-year maturity, 8.9% coupon bond paying coupons semiannually is callable in five years at a...
A 30-year maturity, 8.9% coupon bond paying coupons semiannually is callable in five years at a call price of $1,145. The bond currently sells at a yield to maturity of 7.9% (3.95% per half-year). a. What is the yield to call? (Do not round intermediate calculations. Round your answer to 2 decimal places.)       Yield to call % b. What is the yield to call if the call price is only $1,095? (Do not round intermediate calculations. Round your answer...
A 30-year maturity, 8% coupon bond paying coupons semiannually is callable in five years at a...
A 30-year maturity, 8% coupon bond paying coupons semiannually is callable in five years at a call price of $1,020. The bond currently sells for $1,059.34. a) What are the yield to maturity and the yield to call of the bond? b) What would be the yield to call annually if the call price were only $970? c) What would be the yield to call annually if the call price were $1,020, but the bond could be called in two...
Consider a 30-year bond that pays semi-annual coupons of $500. The face value of the bond...
Consider a 30-year bond that pays semi-annual coupons of $500. The face value of the bond is $100, 000. If the annual yield rate is 3%, calculate the following: a) the annual coupon rate of the bond b) the price of the bond, one period before the first coupon is paid c) the price of the bond, immediately after the 15th coupon is paid d) the price of the bond, 2 months after the 30th coupon is paid *No financial...
B. A 30-year maturity, 8% coupon bond paying coupons semiannually is callable in 5 years at...
B. A 30-year maturity, 8% coupon bond paying coupons semiannually is callable in 5 years at a call price of $1100. The bond currently sells at a yield to maturity (YTM) of 7% (3.5% per half-year). What is the yield to call? How does it relate to the YTM? Why?   
Consider two bonds, a 3-year bond paying an annual coupon of 7%, and a 20-year bond,...
Consider two bonds, a 3-year bond paying an annual coupon of 7%, and a 20-year bond, also with an annual coupon of 7%. Both bonds currently sell at par value. Now suppose that interest rates rise and the yield to maturity of the two bonds increases to 10%. a. What is the new price of the 3-year bond? (Round your answer to 2 decimal places.) b. What is the new price of the 20-year bond? (Round your answer to 2...
ADVERTISEMENT
ADVERTISEMENT
ADVERTISEMENT