A bond market trades coupon bonds and zero-coupon bonds with various maturities. (a) Calculate the prices of

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A bond market trades coupon bonds and zero-coupon bonds with various maturities. (a) Calculate the prices of the following coupon bonds at a yield to maturity of 8%.

(i) A 4-year maturity coupon bond making 10% annual coupon payments with a face value of £1,000

(ii) An 8-year maturity coupon bond making 6% annual coupon payments with a face value of £1,000

(b) Calculate Macaulay duration and modified duration for both coupon bonds in (a).

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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Posted Date: Mar 11, 2024 04:18 PM

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A bond market trades coupon bonds and zero-coupon bonds with various maturities. (a) Calculate the prices of

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SOLUTION a The prices of the coupon bonds can be calculated using the following formula Price Face V... View the full answer

Fixed Income Analysis

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