1a. A 4% semi-annual-pay coupon bond (1,000 face value has ten years to maturity. The bond...
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1a. A 4% semi-annual-pay coupon bond (1,000 face value has ten years to maturity. The bond is currently trading at $109.726 (par). Using a +/- 100 basis point change in yield, what is the approximate modified duration (AMD) of the bond? (2 decimals) AMD A 1b. Using the modified duration (only) of the bond above, what is the estimate of the percentage change in price using duration only for a yield decrease of 100 basis points? (2 decimals)? What is the actual change? Estimate change(%) Actual Change(%) 1ca. A 0% semi-annual-pay coupon bond (1,000 face value) priced at $530.00 has twenty years to maturity. Using a +/- 100 basis point change in yield, what is the approximate modified duration (AMD) of the bond? (2 decimals) AMD 1a. A 4% semi-annual-pay coupon bond (1,000 face value has ten years to maturity. The bond is currently trading at $109.726 (par). Using a +/- 100 basis point change in yield, what is the approximate modified duration (AMD) of the bond? (2 decimals) AMD A 1b. Using the modified duration (only) of the bond above, what is the estimate of the percentage change in price using duration only for a yield decrease of 100 basis points? (2 decimals)? What is the actual change? Estimate change(%) Actual Change(%) 1ca. A 0% semi-annual-pay coupon bond (1,000 face value) priced at $530.00 has twenty years to maturity. Using a +/- 100 basis point change in yield, what is the approximate modified duration (AMD) of the bond? (2 decimals) AMD
Expert Answer:
Answer rating: 100% (QA)
1aTo calculate the approximate modified duration AMD of the bond we can use the following formula AMD 1PricedPricedy where Price current bond price y yield to maturity dPrice change in bond price dy c... View the full answer
Related Book For
Introduction To Corporate Finance
ISBN: 9781118300763
3rd Edition
Authors: Laurence Booth, Sean Cleary
Posted Date:
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