Question: The table below shows the compound yield curve for each semi-annually of January 1, 2020. Calculate the convexity of the following securities. Face value is
The table below shows the compound yield curve for each semi-annually of January 1, 2020. Calculate the convexity of the following securities. Face value is $100.
| Maturity | Yield | Maturity | Yield | Maturity | Yield |
| 0.25 | 4.53% | 2.75 | 5.06% | 5.25 | 4.59% |
| 0.5 | 4.69% | 3 | 5.03% | 5.5 | 4.51% |
| 0.75 | 4.82% | 3.25 | 5.00% | 5.75 | 4.44% |
| 1 | 4.91% | 3.5 | 4.96% | 6 | 4.35% |
| 1.25 | 4.99% | 3.75 | 4.92% | 6.25 | 4.25% |
| 1.5 | 5.04% | 4 | 4.87% | 6.5 | 4.14% |
| 1.75 | 5.07% | 4.25 | 4.82% | 6.75 | 4.01% |
| 2 | 5.08% | 4.5 | 4.77% | 7 | 3.87% |
| 2.25 | 5.09% | 4.75 | 4.71% | 7.25 | 3.70% |
| 2.5 | 5.08% | 5 | 4.65% | 7.5 | 3.51% |
(a) 4-year zero coupon bond
(b) 2 1/4-year coupon bond paying 6% semiannually
(c) 2-year coupon bond paying 4% quarterly
(d) 3 1/2-year floating rate bond with 30 basis point spread, paid semiannually
(e) 4 1/4-year floating rate bond with 45 basis point spread, paid semiannually
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