A Treasury bond with 5 years to maturity is currently quoted at 107:15. The bond has...

A Treasury bond with 5 years to maturity is currently quoted at 107:15. The bond has a coupon rate of 7.7 percent. What is the yield value of a 32nd for this bond? (Do not round intermediate calculations. Round your answer to 3 decimal places.)

Solutions

Expert Solution

Yield value of a 32nd = 1/(32*dollar value of an 01)

This measure shows how much yield rate change if one tick(1/32) change in bond price.

Dollar value of an 01 = modified duration * 0.0001

This measure shows how much bond price change if one basis point change in yield rate.

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

Cell reference -

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

jeff jeffy answered 7 months ago

Next > < Previous

Related Solutions

A Treasury bond with 8 years to maturity is currently quoted at 110:12. The bond has...

A Treasury bond with 8 years to maturity is currently quoted at 110:12. The bond has a coupon rate of 8.3 percent. What is the yield value of a 32nd for this bond?

A Treasury bond with 7 years to maturity is currently quoted at 117:7. The bond has...

A Treasury bond with 7 years to maturity is currently quoted at 117:7. The bond has a coupon rate of 9.7 percent. What is the yield value of a 32nd for this bond? (Do not round intermediate calculations. Round your answer to 3 decimal places.) Value of a 32nd? _______________

A Treasury bond with the longest maturity (30 years) has an ask price quoted at 106.9375....

A Treasury bond with the longest maturity (30 years) has an ask price quoted at 106.9375. The coupon rate is 3.10 percent, paid semiannually. What is the yield to maturity of this bond?

Suppose there is a Treasury bond with exactly 15 years left to maturity, a 5% coupon,...

Suppose there is a Treasury bond with exactly 15 years left to maturity, a 5% coupon, par of 100, and a 2.6% yield-to-maturity? (Recall that Treasury notes pay semi-annual coupons.) What is the modified duration of this bond? A 3.41 B 7.99 C 11.17 D 14.23

The currently quoted price (3 years before maturity date) of a 5-year bond with a nominal...

The currently quoted price (3 years before maturity date) of a 5-year bond with a nominal of 1,000,000 PLN, interest 4% pa, coupons paid each 4M, is PLN 900,000. Calculate PVB and determine whether investor should buy this bond (or not) for the quoted price, if expected YTM during maturity period is 8% pa?

The currently quoted price (3 years before maturity date) of a 5-year bond with a nominal...

What is the quoted price of a bond with 5 years to maturity, a coupon rate...

What is the quoted price of a bond with 5 years to maturity, a coupon rate of 8%, and a YTM of 7.5%? Coupons are paid semi-annually.

What is the quoted price of a bond with 5 years to maturity, a coupon rate...

What is the quoted price of a bond with 5 years to maturity, a coupon rate of 8%, and a YTM of 7.5%?

A callable bond has 15 years to maturity and can be called in 5 years. The...

A callable bond has 15 years to maturity and can be called in 5 years. The bond’s coupon rate is 12% with semi-annual coupon payments. The par value is $1000. If the bond is called, the call price will be $1100. The bond is currently selling for $985.35 What is the difference between its yield-to-call and yield-to-maturity?

A Treasury bond with $1,000 maturity value has a $70 annual coupon and 5 years left...

A Treasury bond with $1,000 maturity value has a $70 annual coupon and 5 years left to maturity. What price will the bond sell for assuming that the 5-year yield to maturity in the market is 4%, 7% and 10% respectively. (Show your calculations) What would be you answer to part (i) if the bond had 8 years to maturity? (Show your calculations) What would be your answer to part (i) if the bond had only 10 years to maturity?...

Subjects