Question

A bank holds a large position in a 7.00% annual coupon payment corporate bond that matures...

A bank holds a large position in a 7.00% annual coupon payment corporate bond that matures on 15April 2029. The bond's yield-to-maturity is 6.8% for settlement on 26June 2014, stated as an effective annual rate. Use the 30/360 method of counting days

a. Calculate the full price of the bond per 100 of par value

.b .Calculate the modified duration and approximate modified duration using a 0.01% increase and decrease in the YTM

.c. Calculate the estimated percentage price change using only the modified duration and using a 100 bp (1%) increase in the YTM.

please provide full work with formulas

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
A 20-year, 6.500% annual payment bond settles on a coupon date. The bond's yield to maturity...
A 20-year, 6.500% annual payment bond settles on a coupon date. The bond's yield to maturity is 9.400%. (a)   What is the bond’s Macauley Duration (show your work, like you did in problem (16) above.) (b) What is the bond’s approximate modified duration? Use yield changes of +/- 30 bps around the yield to maturity for your calculations. (c) Calculate the approximate convexity for the bond. (d) Calculate the change in the full bond price for a 40 bps change...
Consider the following bond: US Gov't Strip (Zero) Bond due May 15, 2029 trading at a...
Consider the following bond: US Gov't Strip (Zero) Bond due May 15, 2029 trading at a YTM of 0.718%. Assume a settlement date of May 22nd, 2020. Face value = 100$ Calculate the bond's Macaulay Duration, Modified Duration and the Convexity Measure. Note, you must calculate the full market price of the bond to arrive at the duration and convexity figures (do not back out accrued interest). Assume that for the US treasury bonds the actual/actual day count convention applies....
Consider the following bond: US Gov't Strip (Zero) Bond due May 15, 2029 trading at a...
Consider the following bond: US Gov't Strip (Zero) Bond due May 15, 2029 trading at a YTM of 0.718%. Assume a settlement date of May 22nd, 2020. Face value = 100$ Calculate the bond's Macaulay Duration, Modified Duration and the Convexity Measure. Note, you must calculate the full market price of each bond to arrive at the duration and convexity figures (do not back out accrued interest). Assume that for the US treasury bonds the actual/actual day count convention applies....
A $1,000 par value, 10% annual coupon bond matures in 3 years. The bond is currently...
A $1,000 par value, 10% annual coupon bond matures in 3 years. The bond is currently priced at $1,106.92 and has a YTM of 6.0%. a. What is the Macaulay duration? b. What percentage will the bond's price change if market interest rates decrease by 1%?
A $1,000 par value, 10% annual coupon bond matures in 3 years. The bond is currently...
A $1,000 par value, 10% annual coupon bond matures in 3 years. The bond is currently priced at $1,106.92 and has a YTM of 6.0%. a. What is the Macaulay duration? b. What percentage will the bond's price change if market interest rates decrease by 1%?
A 3-year $1000 face value bond pays an annual coupon of 2% and has a ytm...
A 3-year $1000 face value bond pays an annual coupon of 2% and has a ytm of 3%. What is this bond's price? What is this bond's duration? Answer this question the long way, e.g., calculate the bond price as the present value of future cash flows. Use the related expression for duration from the lectures. Do not use the complex formulas for bond price and duration from the textbook or the TVM function on your calculator. You must show...
A 2-year $1000 face value bond pays an annual coupon of 6% and has a ytm...
A 2-year $1000 face value bond pays an annual coupon of 6% and has a ytm of 4%. What is this bond's price? What is this bond's duration? Answer this question the long way, e.g., calculate the bond price as the present value of future cash flows. Use the related expression for duration from the lectures. Do not use the complex formulas for bond price and duration. You must show your work – the numbers in the formulas – to...
19. A 20-year, 6.500% annual payment bond settles on a coupon date. The bond's yield to...
19. A 20-year, 6.500% annual payment bond settles on a coupon date. The bond's yield to maturity is 9.400%. (a)   What is the bond’s Macauley Duration (show your work, like you did in problem (16) above.) (b) What is the bond’s approximate modified duration? Use yield changes of +/- 30 bps around the yield to maturity for your calculations. 20. Consider the bond from problem (19) above. (a) Calculate the approximate convexity for the bond. (b) Calculate the change in...
Calculate the Macaulay duration of a 9%, $1,000 par bond that matures in three years if...
Calculate the Macaulay duration of a 9%, $1,000 par bond that matures in three years if the bond's YTM is 12% and interest is paid semiannually. You may use Appendix C to answer the questions. Calculate this bond's modified duration. Do not round intermediate calculations. Round your answer to two decimal places. ____years Assuming the bond's YTM goes from 12% to 11.5%, calculate an estimated percentage of the price change. Do not round intermediate calculations. Round your answer to three...
Consider the following bond: US Gov't Treasury Bond 2.375% due May 15, 2029 trading at a...
Consider the following bond: US Gov't Treasury Bond 2.375% due May 15, 2029 trading at a yield to maturity of 0.621%.  Assume a settlement date of May 22nd, 2020 Calculate the bond's Macaulay Duration, Modified Duration and the Convexity Measure.Note, you must calculate the full market price of each bond to arrive at the duration and convexity figures (do not back out accrued interest). Assume that for the US treasury bonds the actual/actual day count convention applies. For the actual/actual day...
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT