Calculate the requested measures for bonds A and B (assume that each bond pays interest semiannually):...

 

Transcribed Image Text:

Calculate the requested measures for bonds A and B (assume that each bond pays interest semiannually): Coupon A B 8% 9% Yield to maturity 8% 8% Maturity (years) 2 5 Par $100.00 $100.00 Price $100.00 $104.055 a. Price value of a basis point b. Macaulay duration c. Modified duration d. The approximate duration using the shortcut formula by changing yields by 20 basis points and compare your answer with the convexity measure calculated in part c. e. Convexity measure f. The approximate convexity measure using the shortcut formula by changing yields by 20 basis points and compare your answer to the convexity measure calculated in part Calculate the requested measures for bonds A and B (assume that each bond pays interest semiannually): Coupon A B 8% 9% Yield to maturity 8% 8% Maturity (years) 2 5 Par $100.00 $100.00 Price $100.00 $104.055 a. Price value of a basis point b. Macaulay duration c. Modified duration d. The approximate duration using the shortcut formula by changing yields by 20 basis points and compare your answer with the convexity measure calculated in part c. e. Convexity measure f. The approximate convexity measure using the shortcut formula by changing yields by 20 basis points and compare your answer to the convexity measure calculated in part

Answer rating: 100% (QA)

To calculate the requested measures for bonds A and B well first find the semiannual coupon payment ... View the full answer