-) Assume you bought two ETFs for the trading simulation. The first ETF trades at a price of $50 given a TM of 5.00% and has a weighted average coupon of 3.50%, a weighted average maturity of 5.5 years and a modified duration of 4.5 years. The second ETF trades at a price of $100 given a YTM of 6.00% and has a weighted average coupon of 4.50%, a weighted average maturity of 10.0 years and a modifie duration of 9.0 years. What number below is the portfolio's duration? a) 6.8 years b) 7.5 years c) 7.8 years d) 8.5 years

-) Assume you bought two ETFs for the trading simulation. The first ETF trades at a price of $50 given a TM of 5.00% and has a weighted average coupon of 3.50%, a weighted average maturity of 5.5 years and a modified duration of 4.5 years. The second ETF trades at a price of $100 given a YTM of 6.00% and has a weighted average coupon of 4.50%, a weighted average maturity of 10.0 years and a modifie duration of 9.0 years. What number below is the portfolio's duration? a) 6.8 years b) 7.5 years c) 7.8 years d) 8.5 years

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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Similar questions

Consider the 1-period binomial model with a bond with A(0) = 60 and A(1) = 70 and a stock with S(0) = 4X and S^u(1) 6Y and S^d(1) = 3Z. = 1. What is the price (payoff) C(1) of a call option with strike price 28? 2. same... with strike price 45? 3. same... with strike price 72? 4. Set up a system of linear equations to determine a replicating portfolio for the call option from part 2 (strike price 45). 5. Solve it and determine the price C(O). 6. Compute, tabulate, and plot the price C(O) as you vary the strike price of the option from 28, 29, ..., 71, 72.
Suppose an investor purchases $114,000 of TIPS with a 6.14% coupon rate and 12 years until maturity. How much with the second coupon payment be if the level of CPI adjusts to the levels below? Today 6 months from now 12 months from now 18 months from now 228 246.2 256.1 265.5
D4) Finance Calculate the price of a 3-month American put option on a non-dividend-paying stock when the stock price is $50, the strike price is $50, the risk-free interest rate is 5% per annum, and the volatility is 25% per annum. Use a binomial tree with a time interval of 1 month.
Is there an arbitrage opportunity in this market? Explain.
Which if the following would you prefer to be buying based on yield to maturity (assume n = 25)? A) A $10,000 par value security with a 9% coupon rate selling for $9,000 B) A $15,000 par value security with a 7% coupon rate selling for $15,700 C) A $20,000 par value security with a 9% coupon rate selling for $20,500. D) A $25,000 par value security with a 7% coupon rate selling for $25,500.
The following information is to be used in the following two questions: Using the expectations hypothesis, You observe the following bonds trading in the market: . a 1-year zero priced at $925.00 • a two-year 10% coupon bond trading at a par value of $10,000 What is the one-year interest rate (expressed in %)?
You observe the following prices of Treasury securities per $100 of par value: • a 6-month T-bill sells for 96.1538 • a 1-year T-bill sells for 94.2596 • a 1.5-year 10% coupon T-bond sells for 104.9142 Assume that the pure expectations theory of the term structure holds. a.) Calculate the 6-month, 1-year, and 1.5-year spot rates on a bond-equivalent yield basis.
A portfolio of derivatives on an asset is worth $10,000, the asset price is $ 250 and the risk - free interest rate is 4%. The theta and gamma of the portfolio is zero. What is the delta?
A non-dividend paying asset is current priced at $25 and the risk-free interest rate is 8% per annum. Today, you enter into a six-month futures contract to buy a unit of this asset. Three months from now the underlying price has fallen to $18 (but note that the interest rate has not moved). Which of the answers below is closest to the fall in the futures price? Use discrete discounting. Question 7Answer a. $6.50 b. $5.50 c. $7.50 d. $4.50

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