Assume the following characteristics of à bónd: Seling at 96.000, 2.3% coupon, annual pay, 12 years until maturity. Use the short-cut methods to determine the Approximate Modified duration and Approximate Convexity Measure of the bond (I suggest using 10 bps as the annual change in yield). Now, under the assumption that yields will increase by 60 bps, what do you expect to be the new price of the bond?
Assume the following characteristics of à bónd: Seling at 96.000, 2.3% coupon, annual pay, 12 years until maturity. Use the short-cut methods to determine the Approximate Modified duration and Approximate Convexity Measure of the bond (I suggest using 10 bps as the annual change in yield). Now, under the assumption that yields will increase by 60 bps, what do you expect to be the new price of the bond?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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- Increasing i increases
present value - Increasing i increases future value
- More frequent compounding increases future value
- More frequent discounting increases present value
- n is always expressed in years
Transcribed Image Text:Assume the following characteristics of a bond: Selling at 96.000, 2.5%
coupon, annual pay,
determine the Approximate Modified duration and Approximate Convexity
Measure of the bond (I suggest using 10 bps as the annual change in yield).
Now, under the assumption that yields will increase by 60 bps, what do
expect to be the new price of the bond?
12 years until maturity. Use the short-cut methods to
you
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