27 28 29 1/1/2027 1/1/2028 1/1/2029 After you have done the above plot, consider the more...
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27 28 29 1/1/2027 1/1/2028 1/1/2029 After you have done the above plot, consider the more practical case: the future interest rate is hard to predict and may fluctuate between 0.05 and 0.15. Case 4: YTM is randomly distributed around 0.100.05. Now calculate the bond prices for the time-varying YTM by filling out the pink area to the right of the figure. What do you see on the plot? Does the interest rate fluctuation affects the contemporary bond price? What is your holding period return from 1/1/2019 to 1/1/2020? Don't forget adding up the annual coupon when calculating HPR. 27 28 29 1/1/2027 1/1/2028 1/1/2029 After you have done the above plot, consider the more practical case: the future interest rate is hard to predict and may fluctuate between 0.05 and 0.15. Case 4: YTM is randomly distributed around 0.100.05. Now calculate the bond prices for the time-varying YTM by filling out the pink area to the right of the figure. What do you see on the plot? Does the interest rate fluctuation affects the contemporary bond price? What is your holding period return from 1/1/2019 to 1/1/2020? Don't forget adding up the annual coupon when calculating HPR.
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Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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