Suppose there are two bonds, a 30-year zero coupon bond and a 2-year zero coupon bond. Currently,

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Suppose there are two bonds, a 30-year zero coupon bond and a 2-year zero coupon bond. Currently, the discount rate, y, is 4%. Suppose the par value of the 30-year zero coupon bond is $1000, and we short one share of the 30-year zero coupon bond.

How much of the 2-year zero coupon bond do we need to buy to be approximately immunized from changes in interest rates?

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Microeconomics An Intuitive Approach with Calculus

ISBN: 978-0538453257

1st edition

Authors: Thomas Nechyba

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Posted Date: Apr 14, 2023 12:53 AM

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Suppose there are two bonds, a 30-year zero coupon bond and a 2-year zero coupon bond. Currently,

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Change in Bond Price 1 Duration X Change in Yield Now duration ... View the full answer

Microeconomics An Intuitive Approach with Calculus

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