Question: When all cash flows are assumed to be discounted by a single yield, why is there no difference between the duration (sensitivity to yield), interest-rate

When all cash flows are assumed to be discounted by a single yield, why is there no difference between the duration (sensitivity to yield), interest-rate duration (sensitivity to rates), and spread duration (sensitivity to spreads)?

Step by Step Solution

★★★★★

3.41 Rating (164 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock

From our answer in the previous problem we saw that formulas for duration and spread durationgenerated the same valueContinuing with the bond problem ... View full answer

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Document Format (1 attachment)

518-B-C-F-B-V (885).docx

120 KBs Word File

Students Have Also Explored These Related Corporate Finance Questions!

Why is there no efficiency variance for revenues?

Why is there no pan-European accounting standards enforcement body in the European Union? Ought one to be established?

Why is there no futures market in cement?

Please show your work. A B C D E F G H J K L M N o F 1 Q1: 2 An important task in performing business valuations is normalizing the historical financial statements. (a). Using the information...

Hi, I have an Assignment for my Finance Subject. I have attached the necessary documentation here for you to view including the Lecture slides of all the Topics covered for this assignment. Please...

I need to get this assignment done today as due to traveling I could not complete it. Microdrive considers borrowing around USD 30 million (present value) to raise the long-term debt portion of the...

answer this question: /////////////////////////////////////////////////////////// here are the ppt slides for your references: : a): ppt13 in LN03 : b): ppt17 , LN03 : c): eq 4.7 : d): ppt20 : e):...

Using an Excel spreadsheet, calculate the convexity for the two bonds you selected for the Module Two Assignment. Conduct an analysis of their duration and convexity and expound on the difference...

Hi, I am doing a project for derivatives class and I have some questions about a regression and Monte Carlo simulation that I need to come up with. So the goal is to hedge against CDS instruments by...

Evaluate the potential gains and losses for forwards,future,call options,put options and swaps. Outline and describe the different risks that each type of derivative contract faces. Describe...

You own a stock portfolio invested 25 percent in Stock Q, 20 percent in Stock R, 45 percent in Stock S, and 10 percent in Stock T, the betas for these four stocks are .73, .86, 1.25, and 1.84,...

A single-threaded 25-mm power screw is 25 mm in diameter with a pitch of 5 mm. A vertical load on the screw reaches a maximum of 6 kN. The coefficients of friction are 0.05 for the collar and 0.08...

Interest Males! Intreduction Companies raite capital in two main formsi debt and esulty, In a free economy, capital is alscated theough a market ayatem. Tha is the price that lenders recerve and...

How much money must the firm pay its current creditors within the next year?

What does it mean if the cost of carry is positive for a Treasury bond futures contract? AppendixLO1

If the Eurodollar CD futures contract is quoted at 91.75, what is the annualized futures three-month LIBOR? AppendixLO1

How do you think the cost of carry will affect the decision of the short as to when in the delivery month the short will elect to deliver? AppendixLO1

The table below shows hypothetical levels of average household debt and debt-service payments in two years, 2005 and 2008. Assume households are paying only interest on their debt and not part of the...

At Desi's Dessert Destination, the probability that a customer orders coffee is 0.61, the probability that a customer orders pie is 0.33, and the probability that a customer orders both coffee and...

Need assistance with java files for final project: collection manager. I just had cancer surgery and my final project suffered because of it. Is there anyone who would be willing to provide me the...