Assume a four year corporate bond with a $1,000 par value that is paying a 4%...
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Assume a four year corporate bond with a $1,000 par value that is paying a 4% semiannual coupon and the YTM is 9%. 1. What is the duration of this bond? 2. What is the Modified Duration? Dollar Duration? 3. What is the estimated $ price change using duration method if interest rates rise 2%? Decline 1%? 4. What is the Convexity (CX) factor? 5. What is the estimated $ price change using convexity method if interest rates rise 2%? Decline 1%? Assume a four year corporate bond with a $1,000 par value that is paying a 4% semiannual coupon and the YTM is 9%. 1. What is the duration of this bond? 2. What is the Modified Duration? Dollar Duration? 3. What is the estimated $ price change using duration method if interest rates rise 2%? Decline 1%? 4. What is the Convexity (CX) factor? 5. What is the estimated $ price change using convexity method if interest rates rise 2%? Decline 1%?
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Related Book For
Investment Analysis and Portfolio Management
ISBN: 978-0538482387
10th Edition
Authors: Frank K. Reilly, Keith C. Brown
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