Question: State why you would agree or disagree with the following statement: For a 1-basis point change in yield, the price value of a basis point

State why you would agree or disagree with the following statement: For a 1-basis point change in yield, the price value of a basis point is equal to the dollar duration.

Step by Step Solution

★★★★★

3.43 Rating (162 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock

The validity of the above statement is discussed below The price value of a basis point also r... View full answer

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Document Format (1 attachment)

518-B-C-F-B-V (538).docx

120 KBs Word File

Students Have Also Explored These Related Corporate Finance Questions!

Modify and test an HTML document from Exercise 2.9 that adds a secondlevel column label, Tree, and a second-level row label, Characteristics. Data from exercises 2.9 Create and test an HTML document...

State why you would agree or disagree with the following statement: As the duration of a zero-coupon bond is equal to its maturity, the price responsiveness of a zero-coupon bond to yield changes is...

State why you would agree or disagree with the following statement: When interest rates are low, there will be little difference between the Macaulay duration and modified duration measures.

State why you would agree or disagree with the following statement: If two bonds have the same dollar duration, yield, and price, their dollar price sensitivity will be the same for a given change in...

State why you would agree or disagree with the following statement: For a 1 - basis - point change in yield, the price value of a basis point is equal to the dollar duration.

State why you would agree or disagree with the following statement: For a 1- basis-point change in yield, the price value of a basis point is equal to the dollar duration. AppendixLO1

QUESTIONS 1. The price value of a basis point will be the same regardless if the yield is increased or decreased by 1 basis point. However, the price value of 100 bssis points (t.e., the change in...

Questions from Fabozzi, Chapter 4 4. Answer the below questions for bonds A and B (assume they pay interest semiannually). Bond A 8% 8% Bond B 9% 8% Coupon Yield to maturity Maturity (years) Par...

6. State why you would agree or disagree with the following statement: When interest rates are low, there will be little difference between the Macaulay duration and modified duration measures. 14....

State why you would agree or disagree with the following statement: Since the Macaulay duration of a zero - coupon bond is equal to its time to maturity, the percent change in the bond price for a...

Suppose the random variable x has a binomial distribution corresponding to n = 20 and p = .30. Use Table 1 of Appendix I to calculate these probabilities: a. P(x = 5) b. P(x 7)

Achilles Inc. recorded the following data for operations during six months of the fiscal year: January February March April May June Overhead Cost $1,203,200 1,130,000 1,178,000 1,270,000 1,186,500...

Plot a sensitivity graph for annual worth versus initial cost, annual revenue, and salvage value for the data in the table below. Vary only one parameter at a time, each within the range of 20% to...

Fuzzy Toys which specialises in making soft toys for children has recently designed a new hypo-allergic soft toy containing fewer allergy-producing substances. Fuzzy Toys is considering to produce...

What is your selected linear demand function given the variables presented? (hint: Qd = x + y + z + q.) What is the estimated linear demand function (Q = .)? What percentage of the variation in sales...

Business process reengineering (BPR) is not only known as a highly effective technique to bring about organizational change, but also as being considerably expensive. Prepare the following TWO...

In an audit of What2Do for the year ended 12/31/x2, you found an account titled "Other Revenue and Expense (net)". Journal entries to this account in 20x2 were as follows: Dates Description Proceeds...

An annealing furnace in an iron-steel enterprise with an energy cost of 0.035 /kWh is operated 8700 hours per year. The inlet temperature of the combustion air is 10C. The operation costs 0.025 /kWh...

All Bright Consumables (ABC) Ltd has placed an advertisement in the local newspaper for the recruitment of a new member of staff to act as assistant manager in a new shop it is opening. Due to the...

Answer the below questions. (a) What is an asset swap? (b)In pricing a single-name CDS, what information does the par asset swap market contain?

The following is an excerpt from MCDX Municipal CDS index on the rise, Credit Default Swap Market Reporting, July 1, 2010 (blog.creditlime.com/2010/07/01/municipal-cds-index-rising/) The 5-year MCDX...

Answer the below questions. (a) Explain how a single-name CDS can be used by a portfolio manager who wants to short a reference entity. (b) Explain how a single-name CDS can be used by a portfolio...

Implied growth. An analyst is investigating the potential growth rates in residual income of companies in the technology sector. He collects the following data on Lesta Corp., a manufacturer of...

An oil-drilling company must choose between two mutually exclusive extraction projects, and each requires an initial outlay at t = 0 of $12.6 million. Under Plan A, all the oil would be extracted in...

Question 14 5 pts You can choose to invest in one of the following 2 bonds: If you firmly expect market rates to decline from 2.5% to 2%, which bond should you best buy? Any of these One cannot say B...