4. Suppose there is a bond with a 12% yield, 10% coupon rate, $1,000 face...
90.2K
Verified Solution
Link Copied!
Question
Accounting
| 4. Suppose there is a bond with a 12% yield, 10% coupon rate, $1,000 face value, and 1.5-year maturity. | |||||||||
| Compute the duration, convexity measure, duration-implied prices, and duration-and-convexity implied prices for this bond. (30 points.) | |||||||||
| (Note: I recommend calculating the true duration and convexity, then using numerical derivatives to double-check that your duration and convexity estimates are correct.) | |||||||||
| Duration: | |||||||||
| Convexity measure: | |||||||||
| (New) Yield | Actual price | D-implied price | DX-implied price | ||||||
| 10% | $1,000.000 | ||||||||
| 12% | $973.270 | ||||||||
| 14% | $947.514 | $947.034 | $947.521 |
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
- Unlimited Question Access with detailed Answers
- Zin AI - 3 Million Words
- 10 Dall-E 3 Images
- 20 Plot Generations
- Conversation with Dialogue Memory
- No Ads, Ever!
- Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Other questions asked by students
StudyZin's Question Purchase
1 Answer
$0.99
(Save $1 )
One time Pay
- No Ads
- Answer to 1 Question
- Get free Zin AI - 50 Thousand Words per Month
Best
Unlimited
$4.99*
(Save $5 )
Billed Monthly
- No Ads
- Answers to Unlimited Questions
- Get free Zin AI - 3 Million Words per Month
*First month only
Free
$0
- Get this answer for free!
- Sign up now to unlock the answer instantly
You can see the logs in the Dashboard.