A five-year $100 par value step-up note pays coupons semi-annually and has the following coupon rate structure:
Fantastic news! We've Found the answer you've been seeking!
Question:
A five-year $100 par value step-up note pays coupons semi-annually and has the following coupon rate structure: the annual coupon rate is 4% in year 1, which then rises by 50 bps every year over the next four years. The YTM on this note is 4.504294% (BEY). What is your best estimate of the dollar price change of this note for an increase of 150 bps in yields? Use a rate shock of 25 bps.
Related Book For
Auditing and Assurance services an integrated approach
ISBN: 978-0132575959
14th Edition
Authors: Alvin a. arens, Randal j. elder, Mark s. Beasley
Posted Date: