Using the yield curve in Table 3 6, compute the dollar duration for the following securities (a) Long a 5 year coupon bond paying 4 semiannually (b) Short a 7 year zero coupon bond (c) Long a 3 1 2 year coupon bond paying 7 quarterly (d) Long a 2 year zero spread floating rate bond paid semiannuall...

Compute the duration of each asset and use the fact th ...

Using the yield curve in Table 3.6, compute the dollar duration for the following securities: (a) Long

Question:

Using the yield curve in Table 3.6, compute the dollar duration for the following securities:
(a) Long a 5-year bond paying 4% semiannually
(b) Short a 7-year zero bond
(c) Long a 3 1/2-year bond paying 7% quarterly
(d) Long a 2-year zero spread floating rate bond paid semiannually
(e) Short a 2 1/4-year zero spread floating rate bond paid semiannually
(f) Short a 5 1/4-year floating rate bond with a 25 basis point spread paid semiannually
Coupon
A coupon or coupon payment is the annual interest rate paid on a bond, expressed as a percentage of the face value and paid from issue date until maturity. Coupons are usually referred to in terms of the coupon rate (the sum of coupons paid in a...