Question

A bond has 16 years left to maturity. With semi-annual coupon of $25 (paid twice a year). The yield to maturity (the rate for equal duration and risk bonds is now going for) is 4.5%. Show steps

A. What is the current price of the bond?

B. What is the Macauley Duration of the bond?

C. What is the Modified Duration of the bond?

Answer #1

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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...

A semi-annual coupon bond with 2 years to maturity and 8% per
annum coupon rate has a face value of $1,000 with a yield to
maturity of 12% per annum (compounded semi-annually). Using the
bond’s modified duration, estimate the new bond price when the
yield to maturity immediately changes from 12% per annum to 8% per
annum.
Select one:
a. 66.27 dollars.
b. 996.97 dollars.
c. 930.70 dollars.
d. 864.43 dollars.
e. None of the statements is true.

You happen to have a 20yr bond with 7.5% annual payment which
settles on a coupon date. Bond yield to maturity is 9.4%.
1.What is the bonds Macauley Duration
2. Whats the bond’s approximate modified duration in this
example? Please use yield changes of +/- 30 bps around the yield to
maturity
3.what is the convexity for the bond (approx.)
4. Find the change in the full bond price for a 40 bps change in
yield.

A 5.3% coupon bearing bond pays interest semi-annually and has a
maturity of 16 years. If the current price of the bond is $973.72,
what is the yield to maturity of this bond? (Answer to the nearest
tenth of a percent, e.g. 12.34%)

1. Omega Enterprises has an 8% coupon bond with exactly 16 years
to maturity. Interest is paid semi-annually. The bond is priced at
$1,125 per $1,000 of face value. a.) What is the yield to maturity
on this bond? b.)An investor purchased the bond at $1,125 and sold
it 5 years later at a price of $1,023. What was the investor’s
return. (Hint: calculate the YTM as in a) above but use the sale
price as the future value.
2....

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 $1,000 bond has a coupon rate of 7% that is paid on a
semi-annual basis, The bond will mature in 5 years and has a
current yield to maturity of 5%.
What is the price of the bond?
(A)______________What is the amount of the annual interest
payment paid to the bondholder?
(B)______________Is this bond trading at a discount or a
premium?
(C)______________What is the price of the bond?

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. (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...

The MNO bond has 8% coupon rate (semi-annual interest), a
maturity value of $1000 matures in 5 years and current price of
$1200. What is the bond yield to maturity?
Note; I want the answer with traditional formula and steps

A bond has five years to maturity, and has a semi-annual coupon
that corresponds to an annual coupon rate of 5%. The face value of
the bond is $1,000. The bond has a current market price of $900.
What is the implied interest rate of the bond?

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