Please correct answer and don't use hand rating Part 2: Numerical Questions - 30 points (ELO 1 and 3)Assignment 4 (10 points)Portfolio A consists of a one-year zero-coupon bond with a face value of AAAA and a 5-year zero-coupon bond with a face value of BBBB.Portfolio B consists of a X-year zero-coupon bond with a face value of 6,000.The current yield on all bonds is 4.5% per annum (continuously compounded). You arerequested to show detailed calculations.4.1 Choose your own estimates for the different values of AAAA and BBBB (between 1000and 10000).4.2 Knowing that both portfolios have the same duration, what is the maturity X ofportfolio B?4.3 Show that the percentage changes in the values of the two portfolios for a 0.1% perannum increase in yields are the same.4.4 What are the percentage changes in the values of the two portfolios for a 10% perannum increase in yields?4.5 What are the convexities of the portfolios?4.6 To what extent do duration and convexity explain the difference between thepercentage changes calculated?

Analyzing Zero-Coupon Bond Portfolios : 4.1 Choosing Values for AAAA and BBBBLet's assume:AAAA =…

Answered: Part 2: Numerical Questions - 30 points…

Financial Accounting Intro Concepts Meth/Uses

14th Edition

ISBN:9781285595047

Author:Weil

Publisher:Weil

Chapter11: Notes, Bonds, And Leases

Section: Chapter Questions

Problem 17E

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Portfolio A consists of a 6-year zero-coupon bond with a face value of $6,000 and a 11-year zero-coupon bond with a face value of $4,000. The current yield on all bonds is 4.75% per annum. (Answer with two decimal digits accuracy) The duration of portfolio A is Your Answer: Answer
Consider a bond portfolio with the following two bonds under an annual effective interest rate of 3%: 3-year zero-coupon bond with face value of $1,000 • 3-year coupon bond with face value of $1,000 and annual coupons paid at the end of each year, currently priced at par Calculate the Macaulay duration of the bond portfolio. 2.83 3.00 O 2.91 O2.02 O 3.12
(please type answer)
P: A 8% coupon, 30-year maturity bond with par value of $1,000. Assume annual interest rate is 8% (1) What is the bond's price using semiannual compounding? (2) Ifr=10%, what is P? r(YTM): Find the YTM for a 8% coupon, 30-year bond selling at $1276.76 (semiannual coupon payments) What is the coupon rate, current yield and YTM of the bond? What is the relationship among them?
Required to show your work:Bond ABC：Coupon rate(%): 4.5% (annual payment)Current market:??Tenior:15 YearsSuppose the yield to maturity of bond E is 3.7% and face value equals to $1,000,calculate the current market price of bond ABC.
A 14-year, $1,000 par value Fingen bond pays 6% interest annually (assume semi- annual payments). The price of the bond is $1,100 and the market's required yield to maturity on a comparable-risk bond is 5.50%. a. Compute the bonds yield to maturity. b. Determine the value of the bond to you, given your required rate of return (the YTM on a comparable-risk bond). c. Should you purchase the bond? a. b. Coupon rate Par (FV) Years (n) m PMT PV (price) YTM Coupon rate Par (FV) Years (n) m PMT PV (price) YTM 6.0% $1,000 14 2 $30 Calculation $1,100 6.0% $1,000 14 2 $30 Calculation Note: if you want PV to be a positive number, you must use a minus sign for both pmt and FV 5.50%
● Calculate and interpret the Macaulay and modified durations of a a) 3-year 10% semi-annual bond (Bond C) when the required yield is 10%, and a b) 3-year zero-coupon bond (Bond D) when the required yield is 10% 16
Consider the following risk-free bonds available for sale in the bond market (assume annual +Coupons). Bond's maturity Ask Price (per $100 of Coupon rate (in %) face value 1-year bond 100.0040 0.125% 2-year bond 101.2100 2% 3-year bond 101.2140 1.625% Construct the term structure of interest rates for these three periods. b. Your company plans to issue three-year maturity coupon bonds. Based on its excellent credit rating, your company pays a low constant 3% risk premium over the relevant term-structure rates. You plan to issue bonds priced at par (i.e. price = face value). At what level should you plan to set the coupon on your bond to justify this price? c. Now assume that your company wishes to issue 3-year zero coupon bonds. At what price will these bonds sell?
Current Yield with Semiannual Payments A bond that matures in 7 years sells for $1,020. The bond has a face value of $1,000 and a yield to maturity of 10.5883%. The bond pays coupons semiannually. What is the bond’s current yield?
Bond Valuation with Semiannual Payments Renfro Rentals has issued bonds that have a 10% coupon rate, payable semiannually. The bonds mature in 8 years, have a face value of $1,000, and a yield to maturity of 8.5%. What is the price of the bonds?
Bond Valuation - You are examining three bonds with a par value of $ 1,000 (you receive $1,000 at maturity) and are concerned with what would happen to their market value if interestRates (or the market discount rate) changed. The three bonds are:• Bond A — 3 years left to maturity that pays 10% per year compounded semiannually• Bond B — 7 years left to maturity that pays 10% per year compounded semiannually• Bond C — 20 years lest to maturity that pays 10% per year compounded semiannuallyWhat would be the value of the bonds if the market discount rate were :A. 10% per year compounded semiannually?B. 4% per year compounded semiannually?C. 16% per year compounded semiannually?D. What observations can you make about these results?

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