Question

Suppose that you have a 20-year maturity, 12% coupon, 12% yield bond with a duration of 11 years and a convexity of 135.5. If the interest rate were to fall 125 basis points, your predicted new price for the bond (including convexity) is ________. This bond sells at par, which means the current price equals its face value, $1,000.

$1,104.56 |
||

$1,113.41 |
||

$1,124.22 |
||

$1,133.35 |

Answer #1

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a.
$1,114.40
b.
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c.
$1,090.83
d.
$1,125.20

A bond has a 25-year maturity, 10% coupon, 10% yields, $1000
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Calculate the new value of the bond (in $), based on modified
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points.

A bond has a 25-year maturity, 10% coupon, 10% yields, $1000
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Calculate the new value of the bond (in $), based on modified
duration and convexity, if interest rates were to fall by 125 basis
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Please show the working/formulas if done in excel.

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(3) What is the estimated price with 125 basis points decrease
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8%.
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c. What price would be predicted by the duration-with-convexity
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d-2. What...

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a.
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Omit the "$" sign in your response.)
Yield to maturity of
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$
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