Question: PLEASE HELP ASAP You received a 3-year loan. The loan must be repaid in three equal annual instalments of 100 000 $ payable at the
PLEASE HELP ASAP
You received a 3-year loan. The loan must be repaid in three equal annual instalments of 100 000 $ payable at the end of each period. The loan interest rate is equal to 5.0% p.a. The 1-year coupon bond with coupon payable two times a year and coupon rate equal to 4.0% and 6-year zero-coupon bond are available on the capital market. The nominal value of bond is equal to 1 000 $. The YTM is equal to 5.0%. Build a portfolio immunization. Calculate:
- the loan present value and duration, (4 points)
- the bonds prices and duration, (8 points)
- the shares of bonds in the portfolio, (2 points)
- integer number of bonds in the portfolio. (6 points)
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