Bris plc. has just issued a three-year bond with face value 100 and a coupon rate of

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Bris plc. has just issued a three-year bond with face value £100 and a coupon rate of 5%. Coupons are paid annually. The term structure of interest rates is flat at 3%. Derive the payoff structure of the bond and calculate its price. Calculate the bond's Macauley duration.

What does this imply for the interest rate sensitivity of the bond? What is the bond's modified duration?

Estimate the change in the price of the Bris bond for a 25 basis points upward shift in the term structure.

Related Book For answer-question

Intermediate Accounting Reporting and Analysis

ISBN: 978-1285453828

2nd edition

Authors: James M. Wahlen, Jefferson P. Jones, Donald Pagach

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Posted Date: Jul 08, 2023 03:24 AM

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Bris plc. has just issued a three-year bond with face value 100 and a coupon rate of

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To derive the payoff structure of the bond we need to determine the annual coupon payments and the principal repayment at maturity Given Face value F ... View the full answer

Intermediate Accounting Reporting and Analysis

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