Question

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 _________.

Answer #1

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

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

1. What is the duration of a 10-year zero-coupon bond with a par
value of $1,000?
2. An investor has a 15-year maturity, 8% coupon, 8% yield bond
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)?

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 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.

A 30-year maturity bond making annual coupon payments with a
coupon rate of 10.2% has duration of 11.03 years and convexity of
176.83. 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%.
b. What price would be predicted by the duration rule?
c. What price would be predicted by the duration-with-convexity
rule?
d-1. What is the percent error for each rule?
d-2. What...

You have a 25-year maturity, 10.4% coupon paid semi-annually,
10.4% YTM bond with a duration of 10 years and a convexity of
113.9976. If the interest rate were to fall 129 bps:
a) Show the total change in the bond price, Δ B, as a result of
the decline in yields.
b) Show the bond price change due to duration, Bd.
c) Show the bond price change due to convexity, Bc.
d) Verify the accuracy of your responses by showing:...

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)

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!

A 30-year maturity bond making annual coupon payments with a
coupon rate of 7% has duration of 15.16 years and convexity of
315.56. The bond currently sells at a yield to maturity of 5%.
a.
Find the price of the bond if its yield to maturity falls to 4%
or rises to 6%. (Round your answers to 2 decimal places.
Omit the "$" sign in your response.)
Yield to maturity of
4%
$
Yield to maturity of
6%...

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