The following are the current prices of $1,000 zero-coupon bonds: Term to Maturity 1 2 3...
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The following are the current prices of $1,000 zero-coupon bonds: Term to Maturity 1 2 3 Price $943.40 X 805.08 If the one-year forward rate for year 2 (i.e., the one-year effective rate during year 2) is 8%, determine X. A $100 par value bond with 7% annual coupons and maturing at par in 4 years sells at a price to yield 6%. Determine the modified duration of the bond. Determine the convexity of a five-year annuity-immediate with level annual payments, evaluated at im 0. An investment will return $1,000 in two years and $5,000 in five years. Determine the ratio of the convexity of the payments to their modified duration, evaluated at i = 7.5%. The following are the current prices of $1,000 zero-coupon bonds: Term to Maturity 1 2 3 Price $943.40 X 805.08 If the one-year forward rate for year 2 (i.e., the one-year effective rate during year 2) is 8%, determine X. A $100 par value bond with 7% annual coupons and maturing at par in 4 years sells at a price to yield 6%. Determine the modified duration of the bond. Determine the convexity of a five-year annuity-immediate with level annual payments, evaluated at im 0. An investment will return $1,000 in two years and $5,000 in five years. Determine the ratio of the convexity of the payments to their modified duration, evaluated at i = 7.5%.
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