Please solve for duration and yield.As for yield, please make sure the final values matchThe completed solutions will need to be send in excel spreadsheets pmts per yr2100parterm3coupon6.00%current price$97.00YIELD6.00%timevaluediscount factor PV(97.00)12$2345$ CALCULATE THE DURATIONS OF THE FOLLOWING 10-YEAR BONDS:1) 8.25% coupon (yield = 8.25%)2) 12.00% coupon (yield = 12.00%)3) 0% coupon (yield = 8.25%)4) which of the three has the highest duration? Why?DURATIONcoupon8.25%8.25%yieldCash Flow ($) discount factortimePV present value ($) T (t/m)(years) PV x T10.000.500.001.000.001.5040.002.000.002.500.003.0070.003.5080.004.0090.004.50100.005.00110.005.50120.006.00130.006.50140.007.00150.007.50160.008.00170.008.50180.009.00190.009.5020104.130.0010.00D =0.00#DIV/O! years0.000.00II

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Answered: pmts per yr 100 par term 3 coupon 6.00%…

pmts per yr 100 par term 3 coupon 6.00% current price $ 97.00 YIELD 6.00% time value discount factor PV O $ (97.00) $ $ 1 2 3 4 5

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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1. Consider the following bond that pays coupon interest semi-annually. Coupon Yield to maturity Maturity (Years) Par Value Bond 8% 6% 2 $100 a) What is the price value of a basis point? Assuming one basis point decrease. b) Compute the Macaulay duration theoretically. What is the modified duration? c) Compute the approximate duration by increasing yield by 20 basis points and compare your answers with those calculated in part (b). d) Compute the convexity measure theoretically. e) When the yield increases by 20 basis points, what is the new bond price? What is the estimated bond price using duration calculated in part (b)? What is the estimated bond price using duration calculated in part (b) together with the convexity calculated in part (d)?
Suppose the current, zero-coupon, yield curve for risk-free bonds is as follows: (Click on the following icon in order to copy its contents into a spreadsheet.) Maturity (years) 1 4.45% 2 4.80% Yield to Maturity a. What is the price per $100 face value of a 3-year, zero-coupon, risk-free bond? b. What is the price per $100 face value of a 4-year, zero-coupon, risk-free bond? c. What is the risk-free interest rate for a 3-year maturity? Note: Assume annual compounding. a. What is the price per $100 face value of a 3-year, zero-coupon, risk-free bond? The price is $ (Round to the nearest cent.) b. What is the price per $100 face value of a 4-year, zero-coupon, risk-free bond? The price is $. (Round to the nearest cent.) c. What is the risk-free interest rate for a 3-year maturity? The risk-free rate is %. (Round to two decimal places.) C--- 3 5.06% 4 5.25% 5 5.38%
Suppose you are given the following information about the default-free, coupon-paying yield curve: Maturity (years) Coupon rate (annual payment) YTM 1 0.00% 2.587% a. Use arbitrage to determine the yield to maturity of a two-year zero-coupon bond. b. What is the zero-coupon yield curve for years 1 through 4? Note: Assume annual compounding. 2 11.00% 4.008% a. Use arbitrage to determine the yield to maturity of a two-year zero-coupon bond. The yield to maturity of a two-year, zero-coupon bond is %. (Round to two decimal places.) b. What is the zero-coupon yield curve for years 1 through 4? The yield to maturity for the three-year and four-year zero-coupon bond is found in the same manner as the two-year zero-coupon bond. The yield to maturity on the three-year, zero-coupon bond is %. (Round to two decimal places.) The yield to maturity on the four-year, zero-coupon bond is %. (Round to two decimal places.) Which graph best depicts the yield curve of the zero-coupon bonds? (Select the…
The current zero-coupon yield curve for risk-free bonds is as follows: Maturity (years) 1 2 3 4 5 YTM 5.01% 5.48% 5.75% 5.97% 6.02% What is the price per $100 face value of a two-year, zero-coupon, risk-free bond?
What are the Modified Duration and Macaulay Duration of the following bond? Coupon Rate = 8% (Semi-annually paid) YTM = 9% Maturity = 2 Years Par Value = 1,000 (Hint: this question is similar to Example 1 and Example 2 on slides) ModD = 1.886 and MacD = 1.805 ModD = 1.784 and MacD = 1.954 ModD = 1.954 and MacD = 1.784 ModD = 1.805 and MacD = 1.886
Consider information on the following bonds (with face value 100): Bond Maturity (years) Coupon rate Yield-to-maturity А 1 0% 5.0% В 2 5% 5.5% C 3 6% 6.0% Coupons are paid annually. What is the three-year spot interest rate?
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Suppose the current zero-coupon yield curve for risk-free bonds is as follows:Maturity (years) 1 2 3 4 5YTM 4.14% 4.55% 4.78% 4.99% 5.37% What is the price per $100 face value of a three-year, zero-coupon, risk-free bond? What is the price per $100 face value of a four-year, zero-coupon, risk-free bond? What is the risk-free interest rate for a four-year maturity?
Assuming annual interest payments and a principal value of $100, what is the value of a 5-year 6.4% coupon bond when the discount rate is i) 4.6%, ii) 6.4%, and iii) 7.6% ? Show that your results are consistent with the relationship between the coupon rate, discount rate, and price relative to par value.
NEED ALL! A 6-year bond with an annual coupon of 4.5% currently trades with a yield of 3.2%. Estimate the:a. Bond priceb. Bond prices in case yield increase, or decrease by 1.5%c. Modified duration (analytical and approximate)d. Convexity (analytical and approximate
Using Excel, compute yield-to-maturity for the following bonds (report your Excel formulas and their inputs): Price = 90, Fixed Coupon Rate = 5%, Maturity = 5 years, Coupon Frequency = 1 b. Price = 90, Fixed Coupon Rate = 5%, Maturity = 5 years, Coupon Frequency = 2 Price = 90, Fixed Coupon Rate = 5%, Maturity = 5 years, Coupon Frequency = 4 а. %3D %3D С. %3D For each bond above, compute the Effective Annual Rate so that you can directly compare the bonds with different coupon payment frequencies. Based on these comparable effective annual rates, which bond has the highest expected return? How does the effective annual rates differ from yield-to-maturities computed in above? What is the explanation of these differences?|
For a 1 year tbill.. with a coupon of 0.75 n = 1 face value = 98.503 market price = 98.434 what is the yield of the bond

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