Question

Consider a bond that has a coupon rate of 5%, five years to maturity, and is currently priced to yeild 6%.Calculate the following:

a)Macaulay duration

b) Modified duration

c)Effective duration

d)Percentage change in price for a 1% increase in the yield to maturity

Answer #1

THE FORMULA USED ARE GIVEN IN THE SHEET BELOW:

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A bond with a yield to maturity of 3% and a coupon rate of 3%
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at in the notes that had a duration of 2.7 years? If the required
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You find a bond with 5 years until maturity that has a coupon
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Consider a 3-year 8% semiannual coupon bond. The YTM of this
bond is 6%. Compute the following
a) Macaulay Duration (use Mac Duration
b) Modified Duration
c) Effective duration (assume a ±50 BP change of Yield)
d) Convexity Factor (use
e) Effective Convexity Factor (assume a ±50 BP change of
Yield)

(excel) Consider a 8% coupon bond
making annual coupon payments with 4 years until maturity
and a yield to maturity of 10%.
What is the modified duration of this bond?
If the market yield increases by 75 basis points, what is the
actual percentage change in the bond’s
price? [Actual, not approximation]
Given that this bond’s convexity is 14.13, what price would you
predict using the duration-with-convexity
approximation for this bond at this new yield?
What is the percentage error?

Calculate the requested measures for the bond with the following
information.
Coupon rate
4%
Yield to maturity
3%
Maturity (years)
2
Face value
$100
a. Macaulay duration
b. Modified duration
c. Price value of a basis point (DV01)
d. The approximate bond price estimated using modified duration
if the yield increases by 35
basis points

a) For the bond with a coupon of 5.5% paid annually, with 10
years to maturity and a YTM of 6.10, calculate the duration and
modified duration. b) For the bond described in a)
above, calculate the convexity. c) Calculate the price
change for a 50 basis point drop in yield using duration plus
convexity. (5 points) d) Samantha and Roberta are discussing the
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features: Bond Price Modified Duration A...

Consider a bond with a par value of $1,000, a 5% coupon rate
paid semiannually, and 5 years to maturity. Assuming a
6% required rate of return, use a financial calculator to determine
the present value of the bond.
A) $957.35
B) $959.00
C) $1,000.00
D) $1,091.59
16. If a bond has a modified duration of 7 and interest rates
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%△Pb
=
-DURm
x...

A bond for the Chelle Corporation has the following
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Coupon - 9%
Yield to maturity - 7.50%
Macaulay duration - 7.83 years
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Noncallable
Assume bond pays interest semiannually. Use only the data
provided in the table above (in the problem statement) for your
calculations.
When rates decline, the price of callable bond increases at a
-Select-slowerhigherItem 5 rate than the price of noncallable
bond.
Calculate the approximate price change for this bond...

a) An HSBC bond has a face value of 1000, a coupon rate of 8%, 3
years until maturity and a yield to maturity of 7%. Calculate bond
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time to maturity and YTM stands for yield to maturity. N.B: You
need to show how you have calculated duration. A single value will
not suffice.
b) HSBC has issued a 9-year bond with YTM of 10% and duration of
7.194 years....

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