A bond is maturing in 30 years and has a semiannually paid coupon of 3.5% per...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
A bond is maturing in 30 years and has a semiannually paid coupon of 3.5% per year (for each $100 of notional $3.5/2 is paid every 6 month). Suppose the price of this bond is 58-15. a) Calculate the bond's Yield to Maturity. b) Suppose you have a position in that bond that has a market value 10 Million. What is the Modified Duration, Macaulay Duration, Convexity and DV01 of that portfolio? c) Suppose you have 10 Million of notional of that bond. What is the Modified Duration, Macaulay Duration, Convexity and DV01 of that portfolio? What is the market value of that portfolio. A bond is maturing in 30 years and has a semiannually paid coupon of 3.5% per year (for each $100 of notional $3.5/2 is paid every 6 month). Suppose the price of this bond is 58-15. a) Calculate the bond's Yield to Maturity. b) Suppose you have a position in that bond that has a market value 10 Million. What is the Modified Duration, Macaulay Duration, Convexity and DV01 of that portfolio? c) Suppose you have 10 Million of notional of that bond. What is the Modified Duration, Macaulay Duration, Convexity and DV01 of that portfolio? What is the market value of that portfolio.
Expert Answer:
Answer rating: 100% (QA)
a Yield to Maturity 39887 Calculation YTM r1PM1n where r coupon rate 35 P price of the bond 5815 ... View the full answer
Related Book For
Financial Management for Public Health and Not for Profit Organizations
ISBN: 978-0132805667
4th edition
Authors: Steven A. Finkler, Thad Calabrese
Posted Date:
Students also viewed these accounting questions
-
N-Methylpyrrolidine has a boiling point of 81 °C, and piperidine has a boiling point of 106 °C. (a) Explain this large difference (25 °C) in boiling point for these two isomers. (b)...
-
Suppose you are planning to retire in 30 years and you want to have a retirement income of $75,000 per year for 20 years after retirement. You estimate that your living expenses will be $50,000 per...
-
Suppose you are planning to retire in 30 years and you want to determine how much you need to save each month to reach your retirement goal of $1,000,000. You plan to earn an average annual return of...
-
Michael Jackson was hired in January as the new Operations Manager for Just Collect It, Inc, a Texas toy assembly plant also known as JCI. As the Operations Manager Michaels duties included contract...
-
Recently, computer programmers in developing countries such as India have begun doing work formerly done in the United States. This shift has undoubtedly led to substantial pay cuts for some...
-
7. What causes cyclic neutropenia? A) Increased susceptibility to bacterial infections B) Suppressed production of bactericidal chemicals C) Low neutrophil count for 3-6 days of a 21-day cycle D)...
-
Explain public policies that protect employees from unlawful discharge.
-
Comment on the statement that materiality is in the eye of the beholder. How does this statement relate to the discussion in the chapter of how to gauge materiality in assessing financial statement...
-
flower pot sitting on a table. Sign Convention: Force Diagram: Net Force Equation(s): , Subscript Definitions: A chandelier hanging from a chain. Sign Convention: Force Diagram: Net Force...
-
Prevosti Farms and Sugarhouse pays its employees according to their job classification. The following employees make up Sugarhouse's staff: Employee Number Name and Address Payroll information...
-
City retail sells two products: Standard and Deluxe. The company had sales of $800,000 during the current year. The companys contribution margin ratio was 40% and total fixed costs totaled $300,000....
-
According to an article in the Wall Street Journal, Cyclical sectors such as tech typically lead in the second year of a bull market, which is on track for the beginning of March. a. What is a bull...
-
When Facebook first began selling shares of stock to the public, the price for its initial public offering (IPO) was $38 per share. After a few days of trading, the price fell to $20 per share. An...
-
A trader enters into a short forward contract on 100 million yen. The forward exchange rate is \(\$ 0.0090\) per yen. How much does the trader gain or lose if the exchange rate at the end of the...
-
An article in the Wall Street Journal states, Gasoline futures are falling, which could point to a drop in prices at the pump down the line. a. What does it means to say that futures are falling? b....
-
An article in the Wall Street Journal noted that All Nippon Airways had reduced its oil hedging to around 40% this fiscal year from 60% in the last fiscal year in a bid to capture the lower spot...
-
1. You are trying to price a Topknot Technologies, a start-up and have the following projections (in millions) for the next five years: Revenues EBITDA Tax Rate FCFF Cost of Capital 1 2 $15.00 $60.00...
-
The graph of the sequence whose general term is an = n - 1 is which of the following? [8.1] A. B. TITTT 3-2-1 23.45 2.3.4
-
Use the ending balances from Problem 10- 27 to prepare a balance sheet.
-
Do GAAP have a preference between cash and accrual bases of accounting? Explain.
-
What is the purpose of an accounts receivable aging schedule? How should it be used?
-
The following are summaries of the cash book and bank accounts of P. Maclaran who does not keep her books using the double entry system. You are required to: (a) Calculate the value of P. Maclaran's...
-
Jean Smith, who retails wooden ornaments, has been so busy since she commenced business on 1 April 2015 that she has neglected to keep adequate accounting records. Jean's opening capital consisted of...
-
The following trial balance of the Grampian Golf Club was extracted from the books as on 31 December 2016: (1) Bar purchases and sales were on a cash basis. Bar inventory at 31 December 2016 was...
Study smarter with the SolutionInn App