Question: Duration Part 1: Duration and Coupon Interest Consider a five-year $1,000 face value, Treasury bond with a 10 percent yield to maturity selling at par.

Duration

Part 1: Duration and Coupon Interest

Consider a five-year $1,000 face value, Treasury bond with a 10 percent yield to maturity selling at par.

Calculate the duration if the semiannual coupon is 7% (5 Points)

Calculate the duration if the semiannual coupon is 13% (5 Points)

Calculate the duration if the semiannual coupon is 16% (5 Points)

Plot the relationship between coupon interest rate (x-axis) and the duration (y-axis). Be sure to label the y-axis, x-axis, and chart title (5 Points)

In your report, identify and comment on the relationship between duration and coupon interest rate.

Part 2: Duration and Rate of Return

Consider a five-year $1,000 face value, Treasury bond with a 10 percent semiannual coupon selling at par.

Calculate the duration if the yield to maturity is 7% (5 Points)

Calculate the duration if the yield to maturity is 13% (5 Points)

Calculate the duration if the yield to maturity is 16% (5 Points)

Plot the relationship between yield to maturity (x-axis) and the duration (y-axis). Be sure to label the y-axis, x-axis, and chart title (5 Points)

In your report, identify and comment on the relationship between duration and yield to maturity.

Part 3: Duration and Maturity

Consider a $1,000 face value, Treasury bond with a 10 percent semiannual coupon selling at par with a 10 percent yield to maturity.

Calculate the duration if the maturity is in 6 years (5 Points)

Calculate the duration if the maturity is in 4 years (5 Points)

Calculate the duration if the maturity is in 2 years (5 Points)

Plot the relationship between maturity (x-axis) and the duration (y-axis). Be sure to label the y-axis, x-axis, and chart title (5 Points)

In your report, identify and comment on the relationship between duration and maturity.

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!

The goal of this project is to explore the topic of duration. The project requires you to work in Excel with the provided spreadsheet. Be sure to fill in the yellow boxes in the Excel file and follow...

Duration Part 1: Duration and Coupon Interest Consider a five-year $1,000 face value, Treasury bond with a 10 percent yield to maturity selling at par. Calculate the duration if the semiannual coupon...

In Excel, with step by step Duration Part 1: Duration and Coupon Interest Consider a five-year $1,000 face value, Treasury bond with a 10 percent yield to maturity selling at par. A) Calculate the...

does this seem right so far? now how do i calculate the duration now for each coupon? please show me how in excel Part 1: Duration and Coupon Interest Consider a five-year $1,000 face value, Treasury...

Page:1 Page:2 Answer all the questions. 1 EXERS 1. A bond of Rs. 1000 was issued five years ago at a coupon rate of 6 per cent. The bond had a maturity period of 10 years and as of today, therefore,...

1 ) Explain the different types of value. 2 ) A bond with a $ 1 , 0 0 0 face value and a 1 0 percent annual coupon rate matures in 1 5 years. a . Determine the value of the bond to a friend of yours...

[20 marks) 3. Answer the following questions on bonds. a) You are working as a summer are working as a summer intern at Capula Investment Management, a London-based hedge fund focusing on fixed...

I need the solutions for the attachment file ASAP Assignment-Ch 14, 18, 19 Summer 2013 I. On March 1 20x2, Pyne Furniture Co. issued $700,000 of 10% bonds to yield 8%. Interest is payable...

can you please show me how to do this in excel. im so stressed. Part 3: Duration and Maturity Consider a $1,000 face value, Treasury bond with a 10 percent semiannual coupon selling at par with a 12...

Consider a $1,000 face value, Treasury bond with a 10 percent semiannual coupon selling at par with a 10 percent yield to maturity. I) Calculate the duration if the maturity is in five years J)...

Write a python code for the following problem. Write a Python code that will take a one-dimensional array of 5 elements as input, add the elements of the array, check whether any element is 0 or not...

Which are prepared first: the year-end financial statements or the general journal adjusting entries? Explain.

If you were about to launch a new business, would you write your business plan from scratch or use a software program? What are the pros and cons of each method? (L.O. 3)

P-1) (100 Pts.) A chemical manufacturing company (CMC) has a contract for the procurement of the neccssaly chemicals from four suppliers. The chemicals purchased from Supplier A are priced at $20...

3 The Amish forgive those involved in conflict with them because of their deeply held religious beliefs. Are there other reasons for forgiveness that can be useful in a conflict?

4 What is your reaction to the information on Amish forgiveness in light of what we learned about Amish shunning earlier in the chapter?

Think of an attitude you have about conflict that is making it difficult for you to talk productively about disagreements with someone in your life. For example, do you believe that discussing...