Question Two (B)Abacus Ltd is an investment fund that specializes in fixed income securities. At the endof 2010 the fund's bond portfolio has the following informationBondYield to MaturityPriceDurationConvexityA12%10452.3516.4614%22654.2622.8011.968%14303.45D10%11004.2015.56Page 1Assume that the yield to maturity on each bond increases by 4%, calculate(i)The percentage by which the price of each bond will decrease(ii) The amount in cedis by which the price of each bond will decrease(ii)The percentage and the cedi decrease in the total value of the portfolio.

The bond valuation refers to the determining bond price, interest rate, yield to maturity, duration,…

Question Two (B) Abacus Ltd is an investment fund that specializes in fixed income securities. At the end of 2010 the fund's bond portfolio has the following information Bond Yield to Maturity Price Duration Convexity 2.35 4.26 A 1045 12% 14% 16.46 2265 22.80 8% 1430 3.45 11.96 10% 1100 4.20 15.56 Page 1 Assume that the yield to maturity on each bond increases by 4%, calculate (i) The percentage by which the price of each bond will decrease (ii) The amount in cedis by which the price of each bond will decrease (iii) The percentage and the cedi decrease in the total value of the portfolio.

Question Two (B) Abacus Ltd is an investment fund that specializes in fixed income securities. At the end of 2010 the fund's bond portfolio has the following information Bond Yield to Maturity Price Duration Convexity 2.35 4.26 A 1045 12% 14% 16.46 2265 22.80 8% 1430 3.45 11.96 10% 1100 4.20 15.56 Page 1 Assume that the yield to maturity on each bond increases by 4%, calculate (i) The percentage by which the price of each bond will decrease (ii) The amount in cedis by which the price of each bond will decrease (iii) The percentage and the cedi decrease in the total value of the portfolio.

EBK CFIN

6th Edition

ISBN:9781337671743

Author:BESLEY

Publisher:BESLEY

Chapter5: The Cost Of Money (interest Rates)

Section: Chapter Questions

Problem 19PROB

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