Bond The effect of coupon rate (PMT) on interest rate sensith 10-year, 10% annual coupor 10-year, 20% annual coupon 10-year, zero coupon The effect of time to maturity on interest rate sensitivit 10-year, 15% annual coupon 5-year, 15% annual coupon Price @YTM-8% Price @YTM= 7% Percentage Change in price 1134.21 1210.66 6.74 463.2 508.3 9.74

Bond The effect of coupon rate (PMT) on interest rate sensith 10-year, 10% annual coupor 10-year, 20% annual coupon 10-year, zero coupon The effect of time to maturity on interest rate sensitivit 10-year, 15% annual coupon 5-year, 15% annual coupon Price @YTM-8% Price @YTM= 7% Percentage Change in price 1134.21 1210.66 6.74 463.2 508.3 9.74

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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O ook int ences You find the following Treasury bond quotes. To calculate the number of years until maturity, assu of the bonds have a par value of $1,000 and pay semiannual coupons. Rate ?? 6.052 6.143 Maturity Month/Year May 33 May 36 May 42 Yield to maturity Asked Bid 103.4560 103.5288 104.4900 104.6357 ?? Change Ask Yield +.3248 5.00 % +.4245 +.5353 In the above table, find the Treasury bond that matures in May 2036. What is your yield to matur Note: Do not round intermediate calculations and enter your answer as a percent rounded to 5.919 ?? 3.951
What is the coupon rate for the bond? Assume semi-annual payments. Answer as a percent! Bond Coupon Rate Yield Price Years to maturity Apple B 5.7% $933.95
Accounting Consider a bond with semiannual coupon payments of $50 and a principal payment of $1,000 in 10 years. Assume a flat yield curve with an 7% vied to maturity: If the yield curve remains unchanged, what is the bond's duration in 9 years? A. 1.00 year B. 1.014 year C. 0.995 year D. 0.983 year E. 0.977 year For a 8-year discount bond with a face value of $1.000. if the interest rate changes from 8% to 12%, what's the new price of the bond using Duration with Convexity? A. $404.87 B. 405.87 C. 406.87 D. 407.87 E. 408.87
es Find the duration of a 6.6% coupon bond making semiannually coupon payments if it has three years until maturity and has a yield to maturity of 6.6%. What is the duration if the yield to maturity is 9.0%? Note: The face value of the bond is $1,000. Do not round intermediate calculations. Round your answers to 2 decimal places. 6.6% YTM 9% YTM Duration years years
Bond Terms Par Value Duration (yrs) Coupon Frequency Current rates: Bond features: MACD Modified Duration $1,000 4 4.00% Semiannual 4.75% Callable at Par 3.732 3.645 Using the bond data above, if interest rates decreased by 1%, how much will the value of the bond change (expressed as a percentage, rounded two decimals)?
There are two zero-coupon bonds below: Coupon Term to rate maturity 0% 1 year 10% 2 years Bond A B FV $100 $100 Price $95.24 $107.42 Consider a 2-year coupon bond C with FV = $100, coupon rate=25%, and price = $ 138. Is Bond C underpriced/overpriced relative to Bonds A and B? What is the potential arbitrage trading strategy? O a. Overpriced; Long 3/22 unit of A; Long 25/22 unit of B; Short 1 unit of C O b. Underpriced; Long 3/22 unit of A; Long 25/22 unit of B; Short 1 unit of C O c. Overpriced; Long 3 unit of A; Long 25 unit of B; Short 1 unit of C O d. Underpriced; Long 3 unit of A; Long 25 unit of B; Short 1 unit of C
Afive-yearbondhasa$10,000parvalueandpayssemi-annualcouponsof$1,000.The bond’s yield-to-maturity is 8%. 1.(a) How much would you be prepared to pay for the bond? 2.(b) What should the price of the bond be one year from now? 3.(c) If all happens as expected, what rate of return would an investor expect if they buy the bond today and sell it in one year?
The prices of zero-coupon bonds with various maturities are given: maturity in years price 1 975.66 2 885.89 3 821.92 4 759.20 5 670.20 A) How could you construct a 1-year forward loan beginning in year 3? face value = ? rate of synthetic loan = ? B) How could you construct a 1-year forward loan beginning in year 4? face value = ? rate of synthetic loan = ?
Calculate the value of a 2-year 3.5% annual pay bond given the interest rate below. What is the implied 3-year spot rate? Time Period Forward Rate z1 0.80% 1f1 1.12% 1f2 3.94% 1f3 3.28% 1f4 3.14%
Note: Coupons are paid semi-annually unless otherwise noted. Coupon rates and yield are annual numbers unless otherwise noted. Par value/face value is always $1000. All bonds have a par value of $1000. years to maturity coupon rate yield to maturity 25 10.6% 9% What is the value of the bond? Answer:
1
Bond Coupon Rate (%) Number of Years to Maturity Price TII $884.20 $948.90 $967.70 $456.39 W X Y 7 8 9 0 5 7 4 10 Calculate the yield to maturity for the four bonds. SOLCE USING BA2 CALC.

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