15. Consider a 10-year zero-coupon bond with a face value of 100. Assume that the 10-year...
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15. Consider a 10-year zero-coupon bond with a face value of 100. Assume that the 10-year spot rate is 8%pa nominal. Assume that dollar duration, Macaulay Duration and Modified Duration are all positive numbers. Assuming semi-annual compounding and based on the concept of duration, which statement below is incorrect? A. The bond has a dollar duration of 438.83. B. The bond has a modified duration of 9.615 years. C. The bond will increase in value by 438.83 cents if the yield curve shifts downwards by 100 basis points at all maturities. D. The bond will increase in value by 20% if the yield curve shifts downwards by 200 basis points at all maturities. E. The bond has a Macaulay duration of 10 years 15. Consider a 10-year zero-coupon bond with a face value of 100. Assume that the 10-year spot rate is 8%pa nominal. Assume that dollar duration, Macaulay Duration and Modified Duration are all positive numbers. Assuming semi-annual compounding and based on the concept of duration, which statement below is incorrect? A. The bond has a dollar duration of 438.83. B. The bond has a modified duration of 9.615 years. C. The bond will increase in value by 438.83 cents if the yield curve shifts downwards by 100 basis points at all maturities. D. The bond will increase in value by 20% if the yield curve shifts downwards by 200 basis points at all maturities. E. The bond has a Macaulay duration of 10 years
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As the Macaulay Duration of a zero coupon bond is the same as its maturity Macaulay Du... View the full answer
Related Book For
Microeconomics
ISBN: 9781464146978
1st edition
Authors: Austan Goolsbee, Steven Levitt, Chad Syverson
Posted Date:
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