A 20-year maturity bond that makes coupon payments annually has a duration of 10.865 years, convexity...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
A 20-year maturity bond that makes coupon payments annually has a duration of 10.865 years, convexity of 160.59, and coupon rate of 8%. The bond sells at a yield to maturity of 5%. If the market rate drops by 99 basis points, what would be the price change (in $) according to the duration-with-convexity rule? A 20-year maturity bond that makes coupon payments annually has a duration of 10.865 years, convexity of 160.59, and coupon rate of 8%. The bond sells at a yield to maturity of 5%. If the market rate drops by 99 basis points, what would be the price change (in $) according to the duration-with-convexity rule?
Expert Answer:
Answer rating: 100% (QA)
To calculate the price change using the durationwithconvexity rule we need to use the following fo... View the full answer
Related Book For
Posted Date:
Students also viewed these accounting questions
-
KYC's stock price can go up by 15 percent every year, or down by 10 percent. Both outcomes are equally likely. The risk free rate is 5 percent, and the current stock price of KYC is 100. (a) Price a...
-
Managing Scope Changes Case Study Scope changes on a project can occur regardless of how well the project is planned or executed. Scope changes can be the result of something that was omitted during...
-
Choose the alternative the best answers the question. 1. Calculate the yield to worst on the following bond, which makes semi-annual coupon payment: Coupon rate = 6% Maturity = 30 years Par Value =...
-
Tri-State Railroad Company organizes its three divisions, the Southeast (SE), East (E), and South (S) regions, as profit centers. The chief executive officer (CEO) evaluates divisional performance,...
-
A neutron collides elastically with an initially stationary deuteron. Find the fraction of the kinetic energy lost by the neutron (a) In a head-on collision; (b) In scattering at right angles.
-
Give an example of accrued revenue other than the examples given in this chapter. Explain how your example of accrued revenue would be adjusted using journal entries.
-
Indicate by letters which of the following control activities match with the following descriptions: Separation of duties (SD) Restricted access (RA) Proper authorization (PA) Adequate documents and...
-
According to a study published in the New England Journal of Medicine, overweight people on low-carbohydrate and Mediterranean diets lost more weight and got greater cardiovascular benefits than...
-
Find the derivative of f(x)=6e5+e-x f'(x) = 9.
-
Repeat Prob. 36 using singularity functions exclusively (including reactions). Repeat Prob. 36, For the beam shown, find the reactions at the supports and plot the shear-force and bending-moment...
-
How can we promote ethical awareness in funeral service? Pick something you learned that can help you to be more effective, or a better person or that you will try to remember because you think it...
-
Suppose the following information is related to legal merger: The combiner issued 10000 common shares with $10 par value and $20 FMV to acquire all the voting common stocks of combinee. What is the...
-
Consider two spherical conductors of radii a and a2 and centers separated by d>>a1,a2. Estimate the coefficients C-ab to lowest order in a/d. Invert C-ab to find the capacity coefficients and...
-
The billed cost on a shipment of hand-blown stemware is $2,000.00 and the freight charges are $50. The delivered cost is 52,080.00. There is a 3% cash discount on this order. What is the cash...
-
Suppose three portfolios built using three securities are as follows: portfolio #1 portfolio 2 portinio 3 $11.60 0,20 0.30 He 0.40 0.00 0.20 0.00 0.30 0.30 mean 0.1300 0.1220 01710 where w, W, and w,...
-
On April 31, 2019, Y acquired for $655000 cash in exchange of 70% of the outstanding common stocks of X when X's balance sheet showed net assets of $1000000 at the FMV. The business combination costs...
-
This case involves Stephanie Clifford, an adult film star, and her reported relations with Donald J. Trump before he was elected president. Clifford's attorney, Michael Avenatti, made several public...
-
Ex. (17): the vector field F = x i-zj + yz k is defined over the volume of the cuboid given by 0x a,0 y b, 0zc, enclosing the surface S. Evaluate the surface integral ff, F. ds?
-
What would be the Excel formula in Spreadsheet for the Black-Scholes value of a straddleposition? 1INPUTS 2Standard deviation (annual 0.2783 OUTPUTS d1 d2 FORMULA FOR OUTPUT IN COLUMNE 0.0029...
-
Perform the first-pass regressions, as did Chen, Roll, and Ross and tabulate the relevant summary statistics.
-
Input the data from the table into a spreadsheet. Compute the serial correlation in decade returns for each asset class and for inflation. Also find the correlation between the returns of various...
-
Calculate the CGT payable in relation to each of the following disposals, assuming in each case that the annual exemption is fully utilised against other gains, that there are no allowable losses and...
-
In October 2012, Matthew bought a piece of rare porcelain for 10,000. The porcelain was damaged in early 2019 and in February of that year Matthew spent 3,850 on restoration work. In July 2019,...
-
Mick Stone disposed of the following assets during tax year 2023-24: (1) On 19 May 2023, Mick sold a freehold warehouse for 522,000. This warehouse was purchased on 6 August 2011 for 258,000, and was...
Study smarter with the SolutionInn App