5. Manually compute the modified duration for the following bond:- Maturity Date: 04/20/2017- Settlement Date: 02/05/2016- Coupon Rate: 10%- Coupon Frequency: Semiannual- Yield-to-Maturity: 12%- Day Count Convention: 30/360 (European)For the bond in question 5, find the modified duration using Excel, and please show your input.For the bond in question 5, find the convexity for a 50-bps change in yield-to-maturity (∆i = 0.5%).

Duration measures the sensitivity of the bond to the changes in the interest rates. Whereas,…

Answered: Maturity Date: 04/20/2017 Settlement…

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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Assume that the Euro (EUR) futures price for September is USD 1.90. Given that 115,000 units are in a Euro futures contract, the seller of Euro futures will receive which of the following? a. EUR 115000 b. EUR 60526 c. USD 60526 d. USD 218500 e. EUR 218500
QUESTION 1 Find the missing data Coupon Rate Maturity Date Settlement Date Price Yield 3.75% 3/28/2028 9/27/2023 3.6750%
Use 360 day count convention. Find the price quote of the bond. 3 decimal places
Maturity Required: 9/26/2019 12/12/2019 8/13/2020 Days to Maturity Maturity Treasury Bills 9/26/2019 12/12/2019 8/13/2020 23 100 345 Treasury Bill Face Value: Days in a Year: Using the table and information above, please calculate the prices using Bank Discount Method: $10,000 360 (Use cells A4 to D10 from the given information to complete this question.) Bid Yield 0.01943 0.01878 0.0169 Price at which Dealer Will Buy Price at which Dealer Will Sell Ask Yield 0.01933 0.01868 0.0168
Only D & E please
Find the missing data Coupon Rate Maturity Date Settlement Date Price Yield 3.88% 10/9/2037 10/10/2023 4.2500%
None
act. The detalls of the contract are given below Date of contract 1 September 2015 Close out date (maturity 4 September 2015 date) Contract price Size of contract R975 per ounce 10 futures contract, each contract represents 100 troy ounces The initial margin Maintenance margin R12,000 per contract RI1,200 per contract Over the four trading days, the gold prices were as follows Date Spot price 1* September 2015 2nd September 2015 R964 R960 3rd September 2015 R970 4th September 2015 R980 Required 1. Explain whether Chill Ltd is buying or selling futures as a hedge. 2. Demonstrate the concept of marking to market using the 10 gold futures. Do that for the buyer and the seller. Clearly show the balance in the margin account at the end of each of the four trading days. 3. Under what circumstances is (a) a short hedge and (b) a long hedge appropriate?
Use the following information to answer. Coupon Payments are annual unless otherwise indicated! Years Face Coupon Market Security Rating Maturity Value Rate Price Treasury 1 $ 1,000 0.00% $ 965.00 Treasury 3 $ 1,000 1.90% $ 939.06 Treasury 5 $ 1,000 4.30% $ 932.42 Treasury 10 $ 1,000 6.80% $ 1,007.12 Treasury 15 $ 1,000 6.60% $ 908.25 Corp A A 5 $ 1,000 8.10% $ 990.00 Corp B BB 10 $ 1,000 7.90% $ 859.88 Corp C AA 15 $ 1,000 7.00% $ 660.00 What is the default risk premium for a BB debt security (round to two places)
= 110 and A 2 year European cash binary call option with barrier level K cash notional H = $1,000,000.0 is traded at $326,455.25. The current price of the underlying stock is 100. The risk free interest rate is 5% ( continuous compounding). What is the fair value of a European cash binary put option of the same maturity and barrier level? (round numerical results to 2 decimal places)
vvany vuipulauomi33utu y T00,000 J ytai pulius Jalluaiy i, 2020. TIIT DUnUs pay imititsi amually aiu liavt a slaitu rate of 6%. The market on day of issue was 8%. Required 1 Determine the issue price (PV) of the bond. N (period of time) | (Interest) PV (Present Value FV (Future Value) PMT (Annuity) 2 Prepare the bond amortization schedule using the effective interest method. Cash Interest Interest Amortization of Year Discount Carrying Value Payment Expense Discount Jan 1, 2020 Dec 31, 2020 Page 1 Dec 31, 2021 Dec 31, 2022 Dec 31, 2023 Dec 31, 2024 3 Record the necessary journal entry at date of issue and first interest payment. General Journal DR CR 4 Analyze the effect on the financial statements of the journal entry at date of issue (a) and the first interest payment (b). Assets = Liabilities + Equity Revenues - Expenses = Net Income la
What is the result in B12? A 1 Settlement Date 2 Maturity Date 3 First Call Date 4 Time to Maturity (Years) 5 Coupon Rate 6 Required Return 7 Frequency 8 9 10 Basis 11 Value 12 Yield to Call 12 Face Value Call Price O a. 7.39% O b. 12.68% O c. 10.05% O d. 5.58% B 10/23/2020 10/23/2030 10/23/2025 $ $ 10 7.00% 10.00% 2 1,000 1,035 0 $813.07 ?

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Maturity Date: 04/20/2017 Settlement Date: 02/05/2016 Coupon Rate: 10% Coupon Frequency: Semiannual Yield-to-Maturity: 12% Day Count Convention: 30/360 (European)