In spring of 2005, France issued a 50-year bond which was priced at par to yield...
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In spring of 2005, France issued a 50-year bond which was priced at par to yield 4.15%. Issuing very long-dated is quite the rage, as England and other countries quickly followed. 1. Why would people want to buy such long dated claims? 2. How "long-dated" are these bonds (i.e. what are their durations)? What is the DV01 and Macaulay duration of this bond? As in class, assume there are semi-annual coupons. Please describe how you obtained the number. If you'd like, include some representative (not all) cells from your excel spreadsheet (cut and paste) so that we know how you calculated this number. 3. Assume the yield increases to 6%. How much of the initial price is lost? What is the Macaulay duration and DV01 at this new yield? In spring of 2005, France issued a 50-year bond which was priced at par to yield 4.15%. Issuing very long-dated is quite the rage, as England and other countries quickly followed. 1. Why would people want to buy such long dated claims? 2. How "long-dated" are these bonds (i.e. what are their durations)? What is the DV01 and Macaulay duration of this bond? As in class, assume there are semi-annual coupons. Please describe how you obtained the number. If you'd like, include some representative (not all) cells from your excel spreadsheet (cut and paste) so that we know how you calculated this number. 3. Assume the yield increases to 6%. How much of the initial price is lost? What is the Macaulay duration and DV01 at this new yield?
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Answer rating: 100% (QA)
To calculate the Macaulay duration DV01 and the price change for a bond you can follow these steps 1 Calculate the bonds cash flows Since its a 50year ... View the full answer
Related Book For
Foundations of Financial Management
ISBN: 978-1259024979
10th Canadian edition
Authors: Stanley Block, Geoffrey Hirt, Bartley Danielsen, Doug Short, Michael Perretta
Posted Date:
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