Consider a 3-year bond with a coupon rate of 10%, yield to maturity of 5% and...
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Consider a 3-year bond with a coupon rate of 10%, yield to maturity of 5% and a par value of £1,000. a. b. C. Calculate the bond duration, D, and the modified duration, MD. [6 marks] Letr denote the yield to maturity, C, denote the payment in period t and P denote the bond price. Construct a formula for calculating the percentage change in P per unit change of r, that is dp/dr P [2.5 marks] dp/dr P Use your answer to Question 2b. to calculate the for the above discussed 3- year bond. In addition, explain your anticipated effect on the bond price if there is a one-unit increase of the yield to maturity. [4 marks] Consider a 3-year bond with a coupon rate of 10%, yield to maturity of 5% and a par value of £1,000. a. b. C. Calculate the bond duration, D, and the modified duration, MD. [6 marks] Letr denote the yield to maturity, C, denote the payment in period t and P denote the bond price. Construct a formula for calculating the percentage change in P per unit change of r, that is dp/dr P [2.5 marks] dp/dr P Use your answer to Question 2b. to calculate the for the above discussed 3- year bond. In addition, explain your anticipated effect on the bond price if there is a one-unit increase of the yield to maturity. [4 marks]
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Related Book For
Fundamentals of Electric Circuits
ISBN: 9780073301150
3rd edition
Authors: Matthew Sadiku, Charles Alexander
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