Percentage price change based on an initial yield of 5% Coupon maturity Yield 3.00% 4.00% 4.50%...
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Percentage price change based on an initial yield of 5% Coupon maturity Yield 3.00% 4.00% 4.50% 4.75% 4.90% 5.00% 5.10% 5.25% 5.50% 6.00% 7.00% 5.0% 4 7.49% 3.66% 1.81% 0.90% 0.36% 0.00% -0.36% -0.89% -1.77% -3.51% -6.87% 5.0% 25 35.00% 15.71% 7.46% 3.64% 1.43% 0.00% -1.40% -3.46% -6.75% -12.86% -23.46% 8.0% 4 7.19% 3.52% 1.74% 0.87% 0.35% 0.00% -0.34% -0.86% -1.70% -3.37% -6.61% 8.0% 25 31.54% 14.24% 6.78% 3.31% 1.31% 0.00% -1.28% -3.16% -6.17% -11.80% -21.62% 11. Assuming all four bonds are selling to yield 5%, compute the following for each bond: a. duration based on a 25 basis point rate shock (Ay = 0.0025) b. duration based on a 50 basis point rate shock (Ay = 0.0050) 12. Assuming all four bonds are selling to yield 5%, compute the value for C in the convexity equation for each bond using a 25 basis point rate shock (Ay = 0.0025). 13. a. Using the duration computed in question 11a, compute the approximate percentage price change using duration for the two 8% coupon bonds assuming that the yield changes by 10 basis points (Ay = 0.0010). b. How does the estimated percentage price change compare to the actual percentage price change? 14. a. Using the duration computed in question 11a, compute the approximate percentage price change using duration for the two 8% coupon bonds assuming that the yield changes by 200 basis points (Ay, = 0.02). b. How does the estimated percentage price change compare to the actual percentage price change? Percentage price change based on an initial yield of 5% Coupon maturity Yield 3.00% 4.00% 4.50% 4.75% 4.90% 5.00% 5.10% 5.25% 5.50% 6.00% 7.00% 5.0% 4 7.49% 3.66% 1.81% 0.90% 0.36% 0.00% -0.36% -0.89% -1.77% -3.51% -6.87% 5.0% 25 35.00% 15.71% 7.46% 3.64% 1.43% 0.00% -1.40% -3.46% -6.75% -12.86% -23.46% 8.0% 4 7.19% 3.52% 1.74% 0.87% 0.35% 0.00% -0.34% -0.86% -1.70% -3.37% -6.61% 8.0% 25 31.54% 14.24% 6.78% 3.31% 1.31% 0.00% -1.28% -3.16% -6.17% -11.80% -21.62% 11. Assuming all four bonds are selling to yield 5%, compute the following for each bond: a. duration based on a 25 basis point rate shock (Ay = 0.0025) b. duration based on a 50 basis point rate shock (Ay = 0.0050) 12. Assuming all four bonds are selling to yield 5%, compute the value for C in the convexity equation for each bond using a 25 basis point rate shock (Ay = 0.0025). 13. a. Using the duration computed in question 11a, compute the approximate percentage price change using duration for the two 8% coupon bonds assuming that the yield changes by 10 basis points (Ay = 0.0010). b. How does the estimated percentage price change compare to the actual percentage price change? 14. a. Using the duration computed in question 11a, compute the approximate percentage price change using duration for the two 8% coupon bonds assuming that the yield changes by 200 basis points (Ay, = 0.02). b. How does the estimated percentage price change compare to the actual percentage price change?
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11 Assuming all four bonds are selling to yield 5 compute the following for each bond a duration based on a 25 basis point rate shock Ay 00025 b durat... View the full answer
Related Book For
Understanding Basic Statistics
ISBN: 9781111827021
6th Edition
Authors: Charles Henry Brase, Corrinne Pellillo Brase
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