Bond A is priced at par with a duration of 6.5 years and yielding 4%. Bond B
Fantastic news! We've Found the answer you've been seeking!
Question:
Bond A is priced at par with a duration of 6.5 years and yielding 4%. Bond B is priced at 99, has a duration of 12 years and yields 4.4%. You own A.
How many of B do you need to sell short in order for your position to be insensitive to (relatively small) changes in interest rates?
A ten-year note with a 6% semi-annual coupon yields 5.1%. For a one-year horizon.
What is its target price so that the Rate-of-Return is 0% (assuming a 5% reinvestment rate and just use a half-year for the reinvestment period, not the actual day-counts).
Related Book For
Cost Accounting A Managerial Emphasis
ISBN: 978-0136126638
13th Edition
Authors: Charles T. Horngren, Srikant M.Dater, George Foster, Madhav
Posted Date: