Duration and Convexity (Part 2): A bond portfolio consists of a two-year zero-coupon bond with a face value of $4,000 and a 15-year zero-coupon bond with a face value of $8,000. The current yield on these bonds is 10% per annum (continuously compounded). Assume a 2% per annum increase in yields, please calculate the actual percentage change in the portfolio value and compare it with the estimated percentage changes in the portfolio value using two methods: (1) applying duration alone, (2) applying duration and convexity. Select one: O a. Actual change = -11.68%; estimated changes: (1) = -13.17%, (2)=-11.53% O b. Actual change = -12.73% ; estimated changes: (1) = -11.97%, (2) = -12.57% O c. Actual change = -13.35%; estimated changes: (1) = -13.47%, (2) = -13.22% O d. Actual change = -14.21% ; estimated changes: (1) = -14.78%, ( 2 ) = -14.56%
Duration and Convexity (Part 2): A bond portfolio consists of a two-year zero-coupon bond with a face value of $4,000 and a 15-year zero-coupon bond with a face value of $8,000. The current yield on these bonds is 10% per annum (continuously compounded). Assume a 2% per annum increase in yields, please calculate the actual percentage change in the portfolio value and compare it with the estimated percentage changes in the portfolio value using two methods: (1) applying duration alone, (2) applying duration and convexity. Select one: O a. Actual change = -11.68%; estimated changes: (1) = -13.17%, (2)=-11.53% O b. Actual change = -12.73% ; estimated changes: (1) = -11.97%, (2) = -12.57% O c. Actual change = -13.35%; estimated changes: (1) = -13.47%, (2) = -13.22% O d. Actual change = -14.21% ; estimated changes: (1) = -14.78%, ( 2 ) = -14.56%
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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