A bond has a Macaulay duration of 14.9 years and convexity of 171.4. Interest rates are currently constant at 8.3%. There is a 21% chance of interest rates increasing to 11.2%, a 42% chance of interest rates staying constant, and 37% chance of interest rates decreasing to 7.1%.Under this scenario, what is the standard deviation of bond returns. There is 8 options for the multiple choice a)0.1669 b)0.1837 c)0.2099 d)0.1757 e)0.2018 f)0.2181 g)0.1573 h)0.1924
A bond has a Macaulay duration of 14.9 years and convexity of 171.4. Interest rates are currently constant at 8.3%. There is a 21% chance of interest rates increasing to 11.2%, a 42% chance of interest rates staying constant, and 37% chance of interest rates decreasing to 7.1%.Under this scenario, what is the standard deviation of bond returns. There is 8 options for the multiple choice a)0.1669 b)0.1837 c)0.2099 d)0.1757 e)0.2018 f)0.2181 g)0.1573 h)0.1924
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
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A bond has a Macaulay duration of 14.9 years and convexity of 171.4. Interest rates are currently constant at 8.3%. There is a 21% chance of interest rates increasing to 11.2%, a 42% chance of interest rates staying constant, and 37% chance of interest rates decreasing to 7.1%.Under this scenario, what is the standard deviation of bond returns.
There is 8 options for the multiple choice
a)0.1669
b)0.1837
c)0.2099
d)0.1757
e)0.2018
f)0.2181
g)0.1573
h)0.1924
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A bond has a Macaulay duration of 6.2 years and convexity of 101.1. Interest rates are currently constant at 7.6%. There is a 11% chance of interest rates increasing to 10.0%, a 56% chance of interest rates staying constant, and a 33% chance of interest rates decreasing to 4.1%. Under this scenario, what is the standard deviation of bond returns? O a. 0.1118 O b. 0.0998 O c. 0.1324 O d. 0.0915 O e. 0.1066 Of. 0.1242 O g. 0.1374 O h. 0.1175
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