Below are details of a semiannual bond. Par value = 1000; Maturity 4 years; Market rate if

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Below are details of a semiannual bond.

Par value = 1000; Maturity 4 years; Market rate if interest (yield to Maturity) = 11% per annum; Coupon rate = 8% per year paid semiannually.

a.Find the Duration, modified duration, and Convexity of the bond.

b.If the yield changes by 1 % what will be the change in price and what will be new price?

c.Calculate the delta and the gamma.

d.Which one is a better measure of predicting price change--duration or convexity-- and why?

Please show how to calculate delta and gamma in Excel.

Posted Date: May 19, 2024 03:10 AM

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Below are details of a semiannual bond. Par value = 1000; Maturity 4 years; Market rate if

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