Question

Consider a bond selling at par with modified duration of 10.6 years and convexity of 210....

Consider a bond selling at par with modified duration of 10.6 years and convexity of 210. A change of -2% in the yield would cause the price to change by 21.2% according to the duration rule. What would be the percentage price change according to the duration-with-convexity rule?

Homework Answers

Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
1)Consider a bond selling at par with modified duration of 22-years and convexity of 415. If...
1)Consider a bond selling at par with modified duration of 22-years and convexity of 415. If the yield decreases by 2%, what would be the percentage price change according to the duration-with-convexity rule? 44% 52.3% 60.6% 80% 2)Bond A has an 8-year duration and is priced at $1,070. Its yield to maturity is 9%. If the yield to maturity falls to 8.42%, you would predict that the new value of the bond will be approximately ________. $1,024.5 $1,070.0 $1,115.5 $1,160.1
(excel) Consider a 8% coupon bond making annual coupon payments with 4 years until maturity and...
(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?
2.8 Calculate the duration of a 6 percent, $1,000 par bond maturing in three years if...
2.8 Calculate the duration of a 6 percent, $1,000 par bond maturing in three years if the yield to maturity is 10 percent and interest is paid semiannually. b. (3 points) Calculate the modified duration for this bond. 2.9 Calculate the convexity of the bond in 2.8. 2.10 Given the results in 2.8 and 2.9, if the price of the bond before yields changed was $898.49, what is the resulting price taking into account both the effect of duration and...
Coupon 9% YTM 8% Maturity 5 Years Par 1,000 Duration 3.99 years Convexity 19.76 years 1)...
Coupon 9% YTM 8% Maturity 5 Years Par 1,000 Duration 3.99 years Convexity 19.76 years 1) Calculate the price of the bond from a 10 basis point decrease in yield 2) Using duration, estimate the price of the bond for a 10 basis point decrease in yield
A 25-year semiannual bond has 10% coupon rate and par value $1,000. The current YTM of...
A 25-year semiannual bond has 10% coupon rate and par value $1,000. The current YTM of the bond is 10%. Its Macaulay duration is 9.58 years and convexity is 141.03. (1) What is the bond’s modified duration? (2 points) (2) What is the percentage price change if interest rate were to fall 125 basis points considering both duration and convexity? (4 points) (3) What is the estimated price with 125 basis points decrease in yield? (4 points)
find with formulas Modified Duration:          For this bond:    coupon interest rate: 5%. yield: 4%; semiannual...
find with formulas Modified Duration:          For this bond:    coupon interest rate: 5%. yield: 4%; semiannual pay; 2 years.          a.      find the bond price in decimal format (as though principal is 1.0) and in percentage-of- par format.          b.      using that price find the Macauley Duration.          c.      using Macauley Duration find Modified Duration
You own an annual coupon bond with a duration of 11.11 years and a convexity of...
You own an annual coupon bond with a duration of 11.11 years and a convexity of 128.62. The bond is currently priced at $805.76 and the yield to maturity is currently 6%. However, you expect the yield to maturity to increase to 8%. What will be the new price of the bond?
A bond with face value = 6,000 currently trades at par. Its Macaulay duration is 5.66...
A bond with face value = 6,000 currently trades at par. Its Macaulay duration is 5.66 years and its convexity is 67.35. Suppose yield currently is 4.26%, and is expected to change to 2.45%. Calculate the approximate dollar change in price using both duration and convexity. Assume annual compounding. Round your answer to 2 decimal places.
A bond with face value = 10,000 currently trades at par. Its Macaulay duration is 3.36...
A bond with face value = 10,000 currently trades at par. Its Macaulay duration is 3.36 years and its convexity is 53.35. Suppose yield currently is 2.97%, and is expected to change to 3.21%. Calculate the approximate dollar change in price using both duration and convexity. Assume annual compounding. Round your answer to 2 decimal places.
A 30-year maturity bond making annual coupon payments with a coupon rate of 16.0% has duration...
A 30-year maturity bond making annual coupon payments with a coupon rate of 16.0% has duration of 10.55 years and convexity of 161.7. The bond currently sells at a yield to maturity of 9%. a. Find the price of the bond if its yield to maturity falls to 8%. (Do not round intermediate calculations. Round your answer to 2 decimal places.) Price of the bond $ b. What price would be predicted by the duration rule? (Do not round intermediate...
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT