Question: If you have a bond with yield - to - maturity 8 % . The approximate modified duration is 9 and approximate convexity is 1

If you have a bond with yield-to-maturity 8%. The approximate modified duration is 9 and approximate convexity is 105. What is the estimated Delta in price resulting from a 100 bps decrease in the yield-to-maturity? How much of that adjustment is due to convexity?

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:

Math 1215 Second Project - Due November 14, 2016 General Instructions This project must be typed or written neatly and legibly by hand. (Messy work can cost up to 5 points.) Projects consisting of...

Q:

Case Analysis 1. Compute the yield to maturity of Land'o'Toys' bonds before the purchase announcement and use it to determine the likely current bond rating. (Compare YTM to the table on p. 269)....

Q:

SOMEONE PLEASE HELP ME GIVE ALL THE ANSWERS!!!!! MY EXAM IS ON 13th MORNING! SO PLEASEEEEE!!!!! 2. An investment is expected to pay the following: C 1 = $2,300, C 2 = $2,600, C 3 = $2,900, and then...

Q:

I have attached both the chapters from which you will be answering the following question. Ch 8 (p 387 of text or p 35 of the pdf) ?Exercise D. Prepare the bank reconciliation and any required...

Q:

If you have a bond with yield to maturity 8 % . The approximate modified duration is 9 and approximate convexity is 1 0 5 . What is the estimated Delta in price resulting from a 1 0 0 bps decrease in...

Q:

Consider an annual coupon bond with yield to maturity (YTM) of 5%, modified duration of 9.72 years and convexity of 321.49. If YTM increases to 6%, the convexity-adjusted percentage change in bond...

Q:

please help me to solve this question 2&3 by using Microsoft Excel and show me the formula too. thankyou! Answer all questions in Microsoft Excel. Question 1 You are given the following 10% annual...

Q:

Question 1. Bond pricing using spot rates You have a 2 year semiannual coupon bond with 6 percent coupon rate and attempt to value of the bond. To price the value of the bond, you need to use a cash...

Q:

can help me to solve these by using M.Excel? shows the formula as well for reference. thank you in advanced! Answer all questions in Microsoft Excel. Question 1 You are given the following 10% annual...

Q:

asap please (c) Consider a bond with 10% coupon paid annually and maturity 20 years. The graph below is the yield-price curve. Find out the coordinates of points A, B and C, corresponding to yields...

Q:

You are a consultant to XY Corporation. The firm seeks your advice for the elaboration of a hedging strategy against interest rate risk. Four years from now, XY will need to make a bullet payment of...

Q:

In the circuit shown in Fig. 5.68, find ix and the power absorbed by the 20-Ω resistor. 60 k

Q:

Prove Theorem 1 for a 2 Ã 2 stochastic matrix E by first writing it in the form where 0 ¤ a ¤ 1 and 0 ¤ b ¤ 1. E= 1-a 1-b

Q:

Why is sound corporate governance important for companies?

Q:

Beth acquired only one tract of land seven years ago as an investment. In order to sell the land at a higher price, she decides to subdivide it into 20 lots. She pays for improvements such as...

Q:

KPS Communications is planning to bring wireless Internet access to the town of Ames, Iowa. Using a geographic information system, KPS has divided Ames into the following 5 by 5 grid. The values in...

Q:

Martha Lou owns 100 shares of Blain Corporation common stock. She purchased the stock on July 25, 1986, for $4,000. On May 2 of the current year, she receives a nontaxable distribution of 100 stock...

Q:

Jonas Tech Corporation recently acquired Innovation + Company. The combined firm consists of three related businesses that will serve as reporting units. In connection with the acquisition, Jonas...

Q:

Kathleen owns 500 shares of Buda Corporation common stock which was purchased on March 20, 1999, for $48,000. On October 10 of the current year, she receives a distribution of 500 stock rights. Each...

Q:

Determine if the overhead allocated to the product relates to a single plantwide overhead rate method, multiple production department factory overhead rate method, or activity-based costing...

Q:

What symptoms of psychotic disorders do you think many people experience to a lesser degree at different times of their lives?

Q:

Think about television shows or films with characters with psychotic symptoms in them. Do you think these characters display realistic or unrealistic symptoms of psychosis? Do you think the...

Q:

What psychological strategies could a mental health profes- sional use to help someone with a psychotic disorder in an outpatient clinical or residential setting?