Question: A two year zero coupon bond with face value $1000 is priced at $960. Calculate its effective duration using a small step of 1 basis

A two year zero coupon bond with face value $1000 is priced at $960.

Calculate its effective duration using a small step of 1 basis point, i.e. 0.01%, and finite differences approximation of a derivative.

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

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

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Q:

1) A one year zero coupon bond (ZCB) with face value $100 is priced as $99. A two year ZCB with face value $100 is priced as $98.A third bond matures in two years, its face value is $1000, It pays...

Q:

A. Determine the future periodic spot interest rates, at one period from now, on a one-step Ho-Lee model, using current periodic spot interest rate of A1 percent,current spot rate over two periods of...

Q:

Question 3 please 1. Risk Measurement, Dollar Duration, Converily, and Macaulay Duration - 30 points The following discount factors are given: B(0,1)= 0.95206 B(0, 2) = 0.81845 B(0,3)=0.86476 B(0,4)=...

Q:

i have this assignment due on march 28th can someone help me do this on excel? MGT 4068 - Fixed Income Securities Assignment 2 Prof. Hsu This assignment must be submitted by the end of class on...

Q:

Question: You must show the details of your work in Excel spreadsheets. Please HIGHLIGHT your final answers. The assignment will be marked based on (1) how you arrive at the solution, (2) is the...

Q:

Question: You must show the details of your work in Excel spreadsheets. Please HIGHLIGHT your final answers. The assignment will be marked based on (1) how you arrive at the solution, (2) is the...

Q:

Questions: You must show the details of your work in Excel spreadsheets. Please HIGHLIGHT your final answers. The assignment will be marked based on (1) how you arrive at the solution, (2) is the...

Q:

You must show the details of your work in Excel spreadsheets. Please HIGHLIGHT your final answers. The assignment will be marked based on (1) how you arrive at the solution, (2) is the solution...

Q:

Risk Measurement, Dollar Duration, Convexity, and Macaulay Duration - 30 points The following discount factors are given: B(0, 1) = 0.92506 B(0, 2) = 0.88145 B(0, 3) = 0.83476 B(0, 4) = 0.79821 As a...

Q:

1.... The cost of new common stock True or False: The following statement accurately describes how firms make decisions related to issuing new common stock. If a firm needs additional capital from...

Q:

I need help with question 5 , 7, 8, and 9 @ https://linuxzoo.net/page/wildcards_tut3.html 5. Using square brackets, move all the files from the misc directory that contain the numbers 2 or 3 into the...

Q:

How is sampling risk controlled?

Q:

k . McPherson Corp. does not make an annual physical count of year - end inventories, but instead makes weekly test counts on the basis of a statistical plan. During the year, Sara Mullins, CPA,...

Q:

Add "Viggo Mortenslet cast = new Map ( ) ;en " to the cast as the key, with value "Aragorn".