3. Consider the following zero-coupon curve: Maturity (years) Zero-Coupon Rate (%) 1 2 3 4 5...
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3. Consider the following zero-coupon curve: Maturity (years) Zero-Coupon Rate (%) 1 2 3 4 5 4 4.5 4.75 4.9 5 1. What is the price of a 5-year bond with a $100 face value, which delivers a 5% annual coupon rate? 2. What is the yield to maturity of this bond? 3. Calculate the MacCaulay duration, Modified duration and Dollar duration of this bond. 4. We suppose that the zero-coupon curve increases instantaneously and uniformly by 0.5%. What is the new price and the new yield to maturity of the bond? What is the impact of this rate increase for the bondholder? 3. Consider the following zero-coupon curve: Maturity (years) Zero-Coupon Rate (%) 1 2 3 4 5 4 4.5 4.75 4.9 5 1. What is the price of a 5-year bond with a $100 face value, which delivers a 5% annual coupon rate? 2. What is the yield to maturity of this bond? 3. Calculate the MacCaulay duration, Modified duration and Dollar duration of this bond. 4. We suppose that the zero-coupon curve increases instantaneously and uniformly by 0.5%. What is the new price and the new yield to maturity of the bond? What is the impact of this rate increase for the bondholder?
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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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