Question

A bond with a coupon of 11.5% and 10 years remaining until maturity has a modified duration of 6.48 and convexity of 63. The bond is quoted at $115.75. If the required yield rises by 145 basis points, determine the predicted price of the bond. Please show work!

Answer #1

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**1. predicted price of the bond= $1056.41**

(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?

a) For the bond with a coupon of 5.5% paid annually, with 10
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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
riskiness of two treasury bonds A& B with the following
features: Bond Price Modified Duration A...

You have a 25-year
maturity, 10.2% coupon, 10.2% yield bond with a duration of 10
years and a convexity of 135.7. If the interest rate were to fall
127 basis points, your predicted new price for the bond (including
convexity) is _________.

A bond has a 25-year maturity, 10% coupon, 10% yields, $1000
face value, a duration of 10 years and a convexity if 135.5.
Calculate the new value of the bond (in $), based on modified
duration and convexity, if interest rates were to fall by 125 basis
points.
Please show the working/formulas if done in excel.

You have a 25-year maturity, 10.1% coupon, 10.1% yield bond with
a duration of 10 years and a convexity of 135.6. If the interest
rate were to fall 126 basis points, your predicted new price for
the bond (including convexity) is _________.
a.
$1,114.40
b.
$1,103.64
c.
$1,090.83
d.
$1,125.20

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.
d) Samantha and Roberta are discussing the riskiness of two
treasury bonds A& B with the following features:
Bond
Price
Modified Duration
A
90
4...

A bond has a 25-year maturity, 10% coupon, 10% yields, $1000
face value, a duration of 10 years and a convexity if 135.5.
Calculate the new value of the bond (in $), based on modified
duration and convexity, if interest rates were to fall by 125 basis
points.

A bond with a yield to maturity of 3% and a coupon rate of 3%
has 3 years remaining until maturity. Calculate the duration and
the modified duration for this bond assuming annual interest
payments and a par value of $1,000. Why is the duration of this
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at in the notes that had a duration of 2.7 years? If the required
market yield on this bond increases to...

A 6% annual coupon bond has 11 years remaining until maturity.
Par value is $1000.
The required rate of return (yield to maturity)on the bond is
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Compute the price of the bond today using the appropriate Excel
formula
Compute the price of the same bond if it has 10 years remaining
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What is the capital gains yield on the bond?
What is the current yield on the bond?
What is the total yield on...

1. What is the duration of a 10-year zero-coupon bond with a par
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with a duration of 10 years and a convexity of 135.5. If the
interest rate were to fall 75 basis points, what is your predicted
new price for the bond (including convexity)?

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