You have a 2.5%, 2-year coupon-paying bond with a face value of 1,000. The yield to maturity
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Question:
You have a 2.5%, 2-year coupon-paying bond with a face value of £1,000. The yield to maturity is 2% per year and yields are paid semi-annually. (i) Suppose the bond paid the last coupon 35 days ago and the next coupon payment is due in 147 days.
1) What would be the invoice price?
2) Use the duration approximation to calculate the approximate price change if the yield to maturity increase by 0.5%. What is the approximation error?
Related Book For
Corporate Finance
ISBN: 9781265533199
13th International Edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe
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